Setup an include for the agent_job_failure checkpoint, but it is not returning any data.
No current job failure for expression.
Please see:
https://knowledge.broadcom.com/external/article/34961/how-does-the-sqlserver-agent_job_failure.html
If you are not getting anything in your query window, that would be because there is nothing that fits the query listed in that document. Your test query will only return a result if there was a recent failure, and it fit the criteria in the above doc. So, it is not just a matter of enumerating that there is a job with that name on the SQL Server, it would also have a recent, failed job in order to be pulled in the query.
To proof this out for implementation, you would need to setup a dummy job that would fail, cause the failure, and then set a query based on that for review.