Why there is no update for this feature ? 

Is there a workaround at minimum for installing the agent using WebSockets as a windows service?

jthompson is there any update or workaround regarding this issue? Is there some sort of documentation that explains the reason of why you can't install it as a service when using WebSocket?

There's no built in workaround or implementation, though there are a number of ways you can roll your own. There are many connection modes with the Remoting library. WebSockets is a new one and no one has implemented the mechanisms to use the "Install as a service" option.

Note that https://jenkins.io/jep/230 proposes to remove the affected functionality from core by default (would still be available as a plugin).

It would be at least nice that  this missing option was documented in any of the "marketing" documents for the websocket option. I just spent 2 hours finding out the reason for the missing File menu and "Install as service", and finding the recommended way for installing the websocket-agent as a windows service. There seems to be none referred -even though WebSocket agent is recommended over the JNLP-agent. Any search terms only return legacy documents which are not working for the websocket agent.

karniemi could you provide the recommended way for installing the websocket as a windows service?

Hi everyone, I came across this issue when working with a CloudBees client who was impacted by this, and I was able to successfully get a WebSocket transport Windows agent installed as a Windows service, and I updated our knowledge base with the solution we used.

Please see point 2 "Using WebSocket transport and creating the service using WinSW" from:

https://support.cloudbees.com/hc/en-us/articles/217423827

As of JENKINS-51820 this issue is obsolete.