Hi,
The reason is that you can only use the select tool to select features, consequently it does not work directly with map services which are tile based. You have 2 options - expose feature access on the service itself (only really necessary if you were planning to do some editing) or simply use Explorer Online to create a feature layer from you map service. To do the latter enter the url into the add content box, then hover the mouse over the result until a window appears beside it. Choose Add sub layer as features. (see screenshot)
You will also be able to configure a dashboard against this layer
Mike