Currently it is not possible to select Hub Transport or Frontend Transport when creating a new connector as the option is greyed out.
In Exchange 2013, it is possible as shown below:
Microsoft are aware of this bug and will be fixing it in Exchange 2016 CU3.
Until this bug is fixed, you need to create Frontend Transport receive connectors from shell as follows:
New-ReceiveConnector -Name "Application Receive Connector" -Bindings ("0.0.0.0:25") -RemoteIPRanges ("10.1.10.10") -MaxMessageSize 50MB –TransportRole FrontendTransport -Usage Custom –Server Bentley-EXCH