I haven't integrated to Microsoft Machine Learning Server, but I did get the SSE-R extension working with Qlik Sense Desktop following the guide carefully: Installing R with Qlik Sense.pdf
--Install Qlik Sense June Release or later (I used September release patch 1)
--Install R. (The document references 3.4.1, but I used 3.4.2 and it worked the same)
--Install a bunch of R packages
--Install the SSE-R connector (I used the precompiled version, so all I actually had to do is download, unzip, run the executable.
Maybe this will help some.