So in the newer 3+ versions of DBConnect (by new, I mean multiple years old and somehow someone thought it was unacceptable NOT to do anything about it), you need to specify the JDK path, not JRE. Forget the fact that every version of DBconnect ever has pointed to the JRE, and forget the fact that it literally says to enter the "JRE Installation Path." Here's a suggestion: maybe the configuration shouldn't ASK for the JRE path?? It literally says JRE Installation Path. Just edit one line of your code guys.
Second, that still didn't fix the problem. It gave me the same error message after trying it with the JDK. You need to magically know that, despite getting an error message, despite it telling you it was unable to save your settings or start the task server, everything is actually okay. If you reboot Splunk DBconnect will now be configured.