The "DS Connection" menu if I remember correctly is only for establishing connection for DS (not 3DS) games that require a connection (and mostly just older DS games). Other software may also function through them, but 3DS games don't use this The original DS and DSi, which is emulated by your 3DS when using these connections didn't support WPA and other newer security settings. If you have access to your router's security settings, and interesting test might be to remove them temporarily and see what happens with your system (make sure you re-enable them when you're done!) Another thing you can do is go to a place with public wifi and attempt to connect. It could be possible that your router can't support Pokemon Y's connections; this is most likely to be true if it's particularly old.