I have created a client-server model and all steps seems to go fine until when the client calls the function wolfSSL_connect().
First I want to say that on the CLIENT code I do the follow steps without having any error!
############################################################################
        wolfSSL_Init();
    WOLFSSL_CTX* ctx;
    
    /* Create and initialize WOLFSSL_CTX structure */
    if ( (ctx = wolfSSL_CTX_new(wolfTLSv1_client_method())) == NULL){
        print("SSL_CTX_new error.\r\n");
    }
        //ca_cert is an array that has the ca_cert file from the finished_src/echoclient example.  I do not have filesystem
        cert_size= sizeof(ca_cert);
        if (wolfSSL_CTX_load_verify_buffer(ctx,ca_cert,cert_size,1) != SSL_SUCCESS) {
        print("Error loading ./ca-cert.pem, please check the file.\r\n");
    }
       
        WOLFSSL* ssl;
    
    if( (ssl = wolfSSL_new(ctx)) == NULL) {
        print("Unable to create SSL Object\r\n");
    }
         if (wolfSSL_set_fd(ssl, socket_fd) != SSL_SUCCESS)
         print("SSL_set Object failed\r\n");
############################################################################
On the SERVER code I have the follow steps again without having any errors!
############################################################################
       wolfSSL_Init();    // Initialize wolfSSL
       WOLFSSL_CTX* ctx;
       /* Create and initialize WOLFSSL_CTX structure */
    if ( (ctx = wolfSSL_CTX_new(wolfTLSv1_server_method())) == NULL){
        print("SSL_CTX_new error.\r\n");
    }
    
       //Again here ca_cert serv_cert and serv_key are arrays that have the files included in finished_src/echoserver example
       cl_cert_size= sizeof(ca_cert);
       serv_cert_size= sizeof(serv_cert);
       serv_key_size= sizeof(serv_key);
    !!!!!!!HERE I DO NOT UNDERSTAND WHY WE HAVE TO LOAD "ca_sert" ON THE SERVER SIDE!!!!!!!!!!!!
    These will be used to verify the server we connect to */    
    if (wolfSSL_CTX_load_verify_buffer(ctx,ca_cert,cl_cert_size,1) != SSL_SUCCESS) {
        print("Error loading ./ca-cert.pem, please check the file.\r\n");
    }
        /* Load server certificate into WOLFSSL_CTX */
    if (wolfSSL_CTX_use_certificate_buffer(ctx,serv_cert,serv_cert_size,1) != SSL_SUCCESS) {
       print("Error loading ./server-cert.pem, please check the file.\r\n");
       //exit(EXIT_FAILURE);
    }
        if (wolfSSL_CTX_use_PrivateKey_buffer(ctx,serv_key,serv_key_size, SSL_FILETYPE_PEM) != SSL_SUCCESS) {
       printf("Error loading ./server-key.pem, please check the file.\r\n");
       //exit(EXIT_FAILURE);
    }
         WOLFSSL* ssl;
         /* Create WOLFSSL Object */
        if( (ssl = wolfSSL_new(ctx)) == NULL) {
           print("Unable to create SSL object\n");
        }
        if (wolfSSL_set_fd(ssl, fd_current) != SSL_SUCCESS)
                print("SSL_set Object failed\r\n");
############################################################################
Moreover I did not define WOLFSSL_DTLS
On function EmbedReceive I added the following line:
print("RECV_FUNCTION\r\n--------------------\r\nData received : %s  \r\nBytes Received %d\r\n--------------------\r\n",buf,sz);
after 
recvd = RECV_FUNCTION(sd, (char *)buf, sz, 0); 
so to print the data receive and the bytes received.
On function EmbedSend I added another line for data sent and bytes.
The message that client and server changed during the handshake are as I show below
-------------------CLIENT SIDE-------------------------------###
Trying to establish SSL connection                                                                
1. CONNECT BEGIN SEND CLIENT HELLO                   
SEND_FUNCTION                                                                        
--------------------                                                                         
Data send :áa                                                                            
Bytes Send : 64                                                                           
--------------------
1. CONNECT BEGIN SEND CLIENT HELLO COMPLETED
2. CLIENT HELLO SENT
RECV_FUNCTION
--------------------
Data received :
Bytes Received 5
--------------------
RECV_FUNCTION
--------------------
Data received :
Bytes Received 74
--------------------
Do Hand Shake Msg ret 0
RECV_FUNCTION
--------------------
Data received :
Bytes Received 5
--------------------
RECV_FUNCTION
--------------------
Data received :
Bytes Received 546
--------------------
Do Hand Shake Msg ret -155
FATAL ERROR
SSL_connect failed
----------------------------SERVER SIDE----------------------------------------
Waiting to establish SSL connection
1. ACCEPT BEGIN : CLIENT HELLO
RECV_FUNCTION
--------------------
Data received :
Bytes Received 5
--------------------
RECV_FUNCTION
--------------------
Data received :
Bytes Received 59
--------------------
1. CLIENT HELLO MESSAGE DONE
2. ACCEPT CLIENT HELLO DONE
2. ACCEPT CLIENT HELLO DONE COMPLETED
3. HELLO VERIFY SENT
3. HELLO VERIFY SENT COMPLETED
4. ACCEPT FIRST REPLY DONE
SEND_FUNCTION
--------------------
Data send :áa
Bytes Send : 79
--------------------
4. ACCEPT FIRST REPLY DONE COMPLETED
5. SERVER HELLO SENT
SEND_FUNCTION
--------------------
Data send :áa
Bytes Send : 551
--------------------
5. SERVER HELLO SENT DONE COMPLETED
6. SEND SERVER KEY EXCHANGE
6. SEND SERVER KEY EXCHANGE COMPLETED
7. SEND CERTIFICATE REQUEST
7. SEND CERTIFICATE REQUEST DONE
8. CERTIFICATE REQUEST SENT
SEND_FUNCTION
--------------------
Data send :áa
Bytes Send : 9
--------------------
8. CERTIFICATE REQUEST SENT COMPLETED
9. SERVER HELLO DONE
RECV_FUNCTION
--------------------
Data received :
Bytes Received 5
--------------------
SSL_accept failed
The num error that I get on the client side is -155(ASN_SIG_CONFIRM_E)
and on the server side is -208(SOCKET_ERROR_E).
Any help?