Is it possible to attach Power Armor to the station?

Solution 1:

This is just additional visual fidelity in pre-rendered scenes.

The power armor does not hook into the power armor station in game, however if you exit the power armor near the power armor station and then use the power armor station's 'craft' option it will move the armor into a similar position to the pre-rendered scenes, just without the chains:

Solution 2:

It doesn't attach per se, but if you exit the armor close to the station and then activate the station, the armor will lock into place in the correct position.

You can see this happen in Day[9]'s playthrough here.