MQTT Connector comes as a module. In Mendix project, go to project explorer where your modules “MyFirstModule” and other are listed. RIght click anywhere, and click import module package. Now select your MQTT connector package file.
Another easy way would be to access app store from inside Mendix, and search MQTT Connector. Download from here and it is automatically added to your project.
This is because the widget has not been updated for Mendix 8 and later versions. Please create a project in 7.23.9 as stated in error message. Download MQTT Client there.
After that try exporting the module MqttClient from that project and then importing it in your Mendix 8 project. Use import module package option as described in above answer.
I just checked by importing it in Mendix 8.4.2 project and it works without any errors. You can test with your 8.5.1
This is the error message. Mendix Studio Pro version 8.5.1