Hi Yuyex,
You MUST connect the Nios2_system sdram pins!!
Add input or output pins like you have done for clk and LED ports. You can even use the Quartus function which automatically creates port pins: select sopc block, right click and select Generate Pins for Symbol Ports.
You must change another thing.
Inside sopc builder, use the same CPU_clk for sdram, too. While SDRAM_clk will be only used externally to connect to the actual sdram chip clock pin. This SDRAM_clk will need a phase shift, in order to meet timing requirements: usually a 1.5ns phase lead relative to CPU_clk is good in most situations.
Cris