Great question. You must be running an older version of the software. Please upgrade to the latest version and you will be able to add users from the Connect As in the Job detail screen.
However, if you click on the configuration tab, you should be able to add all the users and passwords you need to use in your jobs. You could think of it as your credintials library. Then when you go to you jobs, you will find all those users available to select. It is designed as such so in case you have a user that you use in several jobs and you need to change its password, you need to update it once under the credeintials library.