The reference to the Excel data connector is a "possible" connector that you may find. This will only happen if you happen to have an ODBC driver to Excel on your machine. JMP scans existing ODBC drivers when it starts up, and creates connector templates for those drivers. Even then, you would need to create a connector based on com.jmp.excel, it won't come pre-configured. I think we (JMP) needs to do a better job explaining the ODBC-based default data connectors that it may supply in the documentation.
All of that to say that you don't really want to use the ODBC-based Excel driver anyway. It is not going to provide a live link to an Excel sheet, and it will have lower performance and reduced options from using the File->Open and the Excel Wizard on the file.
If your ultimate goal is having a hot link to an Excel sheet, the closest you will likely find is to use the JMP add-in to Excel. It will at least allow easy update to JMP, but it will not provide an instantaneous updating of JMP data based on changes to the Excel sheet. This capability does not exist in JMP. It can be simulated with JSL (scripting) that refreshes the open of the Excel file, but that is a crude approximation.
I hope this helps,
Brian Corcoran
JMP Development