Dear Alfonso, 

I am encountering the same issue (I copied the error message below). I am processing my data in CONN v. 17, on Mac High Sierra. 
I have realignment, QA_timeseries and scrubbing as first level covariates.
I entered them using CONN GUI.
I checked the first level covariates in the subject where this error occured, and I don't see any NaNs ot Infs.

One precision regarding my current set up. A reviewer asked me to perform test-retest reliability measurements on my data set. I have only one resting state session so I decided to cut this session in half, enter the two halves into a new CONN project as session 1 and session 2, perform the first and second level analysis as in my initial project, and correlate the second level maps from the first and the second session. High correlations would implicate reliability. 
I have 200 volumes, so I cut in half the preprocessed (swauf*) nifti files, the rp*.txt files (realignment), the art_regression_outliers_auf*mat (scrubbing) and the art_regression_timeseries_auf*mat (QA). The resulting files have 100 volumes/rows each. I have then entered the cut files to a new CONN project via GUI. 

I'd be very grateful for your help.

I'm getting the following error message:
ERROR DESCRIPTION:

Error using svd
Input to SVD must not contain NaN or Inf.
Error in pinv (line 18)
[U,S,V] = svd(A,'econ');
Error in rex>rex_do (line 729)
proj=eye(size(tdata,1))-[cov1,0*cov0]*pinv([cov1,cov0]); % removes covariates keeping scale unchanged
Error in rex (line 179)
[params.ROIdata,params.ROInames,params.ROIinfo.basis,params.ROIinfo.voxels,params.ROIinfo.files,params.ROIinfo.select,params.ROIinfo.trans]=rex_do(params,1);
Error in conn_rex (line 8)
[varargout{1:nargout}]=rex(varargin{:});
Error in conn_process (line 815)
[data{nroi1},namesroi{nroi},params]=conn_rex(Vsourcethis,Vmask{nroi}{min(nses,nsesstemp)},'summary_measure','eigenvariate','dims',CONN_x.Setup.rois.dimensions{nroi},'conjunction_mask',mask,'level',level,'scaling',scalinglevel,'select_clusters',0,'covariates',entercovariates,'fsanatomical',fsanatomical,'output_type',outputtype,'output_rex',filenamerex,'output_folder',filepath);
Error in conn_process (line 16)
case 'setup', disp(['CONN: RUNNING SETUP STEP']); conn_process([0:4,4.5,5]);
Error in conn (line 4439)
else conn_process('setup'); ispending=false;
Error in conn_menumanager (line 120)
feval(CONN_MM.MENU{n0}.callback{n1}{1},CONN_MM.MENU{n0}.callback{n1}{2:end});
CONN v.17.f
SPM12 + DEM FieldMap MEEGtools
Matlab v.2017b
storage: 310.9Gb available
spm @ /Users/k.siudakrzywicka/Desktop/tools/spm12
conn @ /Users/k.siudakrzywicka/Desktop/tools/conn