The only way to operate in connected mode is if you have a project on SonarQube to bind to, and that creation cannot happen through Visual Studio itself.
Depending on the permissions on your SonarQube instance, you may be able to get that project created from your first analysis of the source code (https://docs.sonarqube.org/display/SONAR/Analyzing+Source+Code), or your instance may require that an administrator (or another user with the appropriate access) create the project (https://docs.sonarqube.org/display/SONAR/Project+Existence)
Once the project is created, through either method, you can bind to that project using SonarLint and take advantage of connected mode.
I’d also make sure you’re looking at the latest documentation, but I’m unable to link to it as I’ve already included two links in this post. Google “sonarlint visual studio” and the first link will take you to the right place.