Dear Alfonso,
I have tried your second suggestion: enter into CONN the original aparc.a2009s+aseg.mgz file (after first copying without any changes your system's FreeSurferColorLUT.txt file into the subject-specific folders renaming it as aparc.a2009s_aseg.txt). I still got error. Please see the screen shot attached. In the set up I used "surface-based analyses (in subject-space"). In ROI set-up I used subjects space and multiple ROIs.

Thanks.
Jian