re: When I create an entry, I can’t see where I can give him a role.
Roles and capabilities are not assigned to an entry. The settings allow you as an admin to control the roles and capabilities a user may be permitted to have to perform action in Connections. Generally, you should only change the defaults if you are linking a WP user to a Connections entry so they can edit “their” entry. To add links (automatically based on email address) you would use the Link extension.
re: Plus, is there a way to make an entry become a wp user for the website?
Sorry, no, but you could use the CSV export tool to export the entries and then use a CSV Import User plugin to import the users.
Hope that answers your questions thoroughly!