After talking internally, I found we support it this way.
.NET->SOAP WebServices->Java communications
Actually we do currently instrument the .NET System.Net.HttpWebRequest class, from webservices.pbd:
#Http Client Side Correlation configuration-->
SetFlag: ClientCorrelationTracing
#TurnOn: ClientCorrelationTracing
IdentifyInheritedAs: [System]System.Net.HttpWebRequest ClientCorrelationTracing
IdentifyClassAs: [System]System.Net.HttpWebRequest ClientCorrelationTracing
SetTracerClassMapping: HttpClientCorrelationTracer
com.wily.introscope.agent.extensions.webservices.trace.DotnetHttpClientCorrelationTracer
com.wily.introscope.probebuilder.validate.ResourceNameValidator
TraceOneMethodIfFlagged: ClientCorrelationTracing GetRequestStream HttpClientCorrelationTracer
"HttpClientCorrelationTracer"
However it doesn't seem to be turned on by default, so it will have to be enabled before it will work. Check if its enabled in your webservices pbd file and if not, then enable it and restart the agent.