How to connect to WiFi from Lubuntu?

I'm not sure you are using the network manager applet. I would recommend typing nm-applet and use that. In case you need a workaround with the command line, you can configure network manager using nmcli tool. The syntax for wireless connections is as follows:

nmcli dev wifi connect <(B)SSID> [password <password>] [wep-key-type key|phrase] [iface <iface>] [bssid <BSSID>] [name <name>] [--private] [--nowait] [--timeout <timeout>]

Just remove the things that you don't need and change the ones that you need. If you don't have a WEP network, just don't use the wep-key-type option. This should be enough for a simple WPA/2 connection:

nmcli dev wifi connect mynetwork password my-password