Latest DB Connect is running, Java 8 is installed, and SQL Explorer (under Data Lab) lists my connection. When I select my DB from the dropdown menu, I get "Invalid Database Connection". I can't find anything in the logs as to why it thinks that. I can see the SQLite driver listed under Drivers.
Configuration under ...\Splunk\etc\apps\splunkappdb_connect\local
Seems the answer is creating an identity, a step I missed due to quick reading. Created it to match the identity name in db_connections.conf, with no password. The schema error is likely due to it being an unsupported and server-less DB.