It would be helpful to tell new users that they need to download an agent and install it. This note should be on the last page of the JON Server installer. It should include a reference to the actual server url where the agent can be downloaded from e.g. http://nec-em25.rhts.eng.bos.redhat.com:7080/agentupdate/download
The text used in the note should be reviewed with UXD to make sure its understandable and accessible by new users.
The text should probably also let RPM based users know that the agent install is also available via RPM (this is JBoss ON specific).
The GUI installer has gone away since RHQ 4.6 release. This issue is now obsolete.