But what should I do? It does not work, it says incorrect password as you can see

How are you spinning the agent machine ?
Basically 10022 port from the host (agent machine) is routed into the container, but it still needs to be open on the host machine, could it be it is behind a firewall? Are you (client side runnign clearml-session) on the same network as the machien runnign the agent ?