Oleg,
Here's some more information regarding the issue.
The GetCapabilities() method is invoked on the SOSClient.
In the SweClient.GetResponse(), I should see xml data returned representing the Renci.Data.Interop.OpenGIS.Sos_10.Capabilities object. Right?
Instead, I'm getting the contents of the asp.net page in which the Swe.svc is hosted.
Hopefully, this helps to pinpoint the problem.