Managing JBoss instances is not supported with the JMX Tools alone. You must also download and install the AS Tools portion of the JBoss Tools distribution. Even after installing the proper tooling, you cannot create a JBoss JMX connection yourself or through the Connection Wizard. The first step is to create a JBoss Server. The full instructions for this can be found in the AS Tools section, however, the short summary is:
Open the JBoss Servers View or the Servers View
Right-click in the view and select New > Server
In the JBoss Community section, select a server version
If a runtime has not yet been created, you'll be prompted for the server's home directory, JDK, and configuration
Finish the wizard and note that you have a new entry in both the JBoss Server View and the MBean Explorer
Start the server by right-clicking it and selecting Start
Note that once the server is started, the JMX connection can be expanded
Now you can explore MBeans exposed by a JBoss instance.