The PubMed (NLM) connection file works fine for me (using EndNote X7.0.2, Windows 7 Pro). The PubMed (NLM) connection file was last modified on April 18, 2012 so you might download/install a new connection file: http://endnote.com/downloads/connections You might also check you’re using “Integrated Library & Search Mode” or “Online Search Mode” to connect to the database.
Refer to the knowledgebase article “Install additional Connection Files” for instructions if needed - http://endnote.com/kb/117447
Also note that updates were issued for EndNote X7. Check for updates by going to the toolbar then select Help > Program Updates.