to add to what the others have said, in order to use the rmw_connext_cpp implementation, you will have to ensure that that package itself has been built. the binaries only provide support for rmw_fastrtps_cpp, but you can get Connext support if you are building from source.
This page gives some more information about switching RMW implementations: https://github.com/ros2/ros2/wiki/Working-with-multiple-RMW-implementations