Thank you for your bug report.

The connection_timeout option defines a timeout in seconds for the connection to the SOAP service. This option does not define a timeout for services with slow responses. To limit the time to wait for calls to finish the default_socket_timeout setting is available.

<?php
// Wait one second for connection when retrieving WSDL:
ini_set('default_socket_timeout', 1);
new SoapClient('http://123.123.123.123/bla.wsdl');
?>

Thanks for your comment, that's exactly what I did for my needs.
Still I find it quite cumbersome (and counterintuitive).
Here's a better syntax btw, especially when creating a library and not just a one-page app
<?php
...
// Wait one second for connection when retrieving WSDL:
$deftimeout = ini_get( 'default_socket_timeout' );
ini_set('default_socket_timeout', 1);
try {
  $c = new SoapClient('http://123.123.123.123/bla.wsdl');
  ini_set( 'default_socket_timeout', $deftimeout );
  ...
} catch (exception $e) {
  ini_set( 'default_socket_timeout', $deftimeout );
  ...
}

?>

Will setting a value for 'default_socket_timeout' work for SSL connections?

The issue described is not related to total execution time. That is consistently 
controlled by the default_socket_timeout and a separate issue.

The issue is with the timeout to retrieve the WSDL when the SoapClient object is 
created. If the SOAP server does not response to the WSDL request, the SoapClient 
on Win will wait for full default_socket_timeout before returning.

The workaround to set a global value is very clumsy. It seems that the WSDL 
request should either respect the connection_timeout for the soap request, or 
have its own parameter.