I had the same problem and resolved it in that way:
1. Create a new pipeline project as before. I don't know why but jenkins doesn't create a webhook at this step. Maybe it need to have cloned git repository.
2. Run a new build manually (Build with parameters) <- it will pull (git pull) the repo with your Jenkinsfile
3. Open the project configuration and click "save". At this moment jenkins will create a webhook for github project you use.
and after that it works.