Hi,
The WSA Cloud connector feature was introduced in version 8.x of WSA. However WSA version 8.7 does not support connector mode.So you need to make sure you are on the correct version.
When you run the setup wizard in the correct version of WSA, under System Settings, you would see another option "Appliance Mode" and their you can select 'Standard' or "Cisco Web Security Connector".
Regards,
Kush Srivastava
Cisco PDI TA
http://www.cisco.com/web/partners/tools/pdita.html