JavaSE does not provide an implementation of the JSR 160 optional protocol aka jmxmp.
The javax.management.remote page in the javadoc contains:

"The JMX Remote API also defines an optional protocol called JMXMP (JMX Message Protocol). JMXMP is based on serialized Java objects (defined in the optional package javax.management.remote.message) over a TCP connection. The connector that implements this protocol is called the JMXMP Connector. User-defined connector protocols are also possible using the JMXConnectorFactory and, optionally, the Generic Connector (javax.management.remote.generic)."

There is also all along JMXServiceURL examples that all contain jmxmp as none contain rmi.

This is possibly confusing as doing strictly what is documented will not work unless you get the JSR 160 Reference Implementation and add it to your classpath, which is not the common case.