Well, this made me curious so I just installed Connectify on my laptop - just the free version - and am able to connect on my Nexus. I've set it to share over Wi-Fi and Sharing Mode is Wi-Fi Access Point, encrypted WPA2. Sorry, but I'm not trying the ad-hoc no password option on my computer since many people are within range of my wifi signal. But using the settings above, after the hotspot was successfully started, I went into the Wifi settings on my phone and under the menu options I hit Scan and it showed up immediately. It connected immediately too after I put in the password.
Edit: The answer about ad-hoc connections is right on the support page. Read the whole thing, but I'll point out the first line of the last paragragh.
"Other devices, such as the Samsung Galaxy series, explicitly block the use of Ad-Hoc networks. In theory they could connect, but they have specific configuration files set up to block Ad-Hoc connections."
You can read the whole thing here and like they suggest, if you really want to use ad-hoc, xda could probably help you figure it out. Or you can just use the secure access point settings like I did and not worry about it.
My hotspot starts, but my device can't see it : Connectify Support