So, my data connection library is already created, my data connections are already there. In the data connection wizard, I select Search for connections on a Microsoft SharePoint Server.
I click next, select my root site, select my data connection library, select my data connection and click the Connection Options button. I select the centrally managed connection library option and can see in the dialog that the data conection is going to be like yours above.
I then created a new recieve data connection and went back and converted it, using a url to my existing data connection in my existing data connection library - like the URL I initially posted - that worked as expected too.
Are you trying to convert a data connection in your form to use an existing data connection in a centrally managed library? Create a new one?