Instead of selecting the Salesforce Campaign icon in the middle select the Salesforce Data icon on the right.  We use these to great success for all objects, campaign, lead, etc.

In the next screen search for Campaignmember in the search bar.  Most likely you'll want a Campaign Member object driven Entry event.  (If you are not seeing any objects in the search bar to @zuzannamj point it's a connector issue)

In the next screen select the recipient whether it's the User or Contact/lead.

In the next section, Entry Criteria, typically you'll want to select Is Created and Is Updated.  That will open up the fields section below.  Search for the field "Campaign ID".  Drag that field over to the Filter canvas area.  Select Equals as a modifier (usually the default), paste in your campaign ID from SF CRM (usually starts with a "7") and wait a second as it will pull up the campaign in the UI, select the campaign.

Add any remaining filters in the Entry Critera.

Add any additional object filters in the Filter Criteria (Related Object Criteria)

Add any data fields in the Entry Data needed to personalize your content or for logging.

And you should be good to go.  Please share any other issues.