If you don't have the webhooks set up correctly, then builds will only happen after a scan/index.
Have you tried triggering a scan/index.
If triggering a scan/index gets the PR job created and building, then you know it is a webhooks problem.
The next point is that CloudBees have not updated the envelope for CJE/CJT to the 2.2.x line of plugin releases (since they were only released last month) so the docs on the site are still 2.0.x.
With 2.2.x you should have behaviours to _Discover Branches_, _Discover Pull requests..._ make sure you have the behaviours you want added.
(I suspect a webhook issue by the way)
HTH
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