Hi Estephania,
I installed wireshark 2.2.7, the current download at the time
Installed the protocol analyzer adapter following the instructions.
Launched the adapter
Select All for the advertising channels, no address filter selected and hopping interval left at default

Launched wireshark.
Selected the virtual pcap if (local area connection 7)
Start the device advertising.
Advertising frames are captured and decoded OK.
I then initiate a connect request from my phone, to try to capture the connection. Obviously with only 1 sniffer I don't capture this every time, so if I don't see the connect and just see advertising stop, the connection occurred on a different advertising channel so I disconnect and try again.
I've tried this on 2 different PCs (one win7pro x64 and one win10pro x64), I've used 3 different peripheral devices (TI sensor tag, Nordic Thingy & my own development board), I've tried 2 different USB-KW41Z dongles, 2 centrals - android phone & nordic dev board running central role and I see much the same thing every time.
I typically see a capture like this one from the TI sensor tag (capture file ti_tag.pcap):

In all the cases I've seen, the hop value in the connect request has a value of 1, this is regardless of device (TI or Nordic stacks), so I wonder if there's an issue decoding this since the core spec requires this to be a random value between 5 & 16. Also in this capture the channel map only includes 2 advertising channels, I don't have enough experience with the sensor tag to determine if this is normal for the tag. With other devices, I see a valid channel map, a hop value of 1, and on occasion when I see some fragments of the connection decoded (as in the original message in this thread), I seem see the decoded data from the kinetis adapter header indicating that the channel being sniffed is not one of those that was in the channel map (assuming I'm not misinterpreting the data).
Thanks for your continuing help with this.