The working principal of the Classic Load Balancer and the Application load balancer in AWS is different.
Classic Load Balancer does not understand the conditions for changing the route based on URL path or the domain based. Hence you can attach the instance directly under the Classic Load balancer. As all the requests are considered same under the Classic Load balancer it does appear as one entity under the EC2 Auto-Scaling group.
Application Load balancer is designed to understand the various condition to route the trafic. Those conditions are path based routing and domain based routing. Due to this you can not attach the EC2 instance under Application load balancer directly, to do that you need to create the target groups and attach the EC2 instance under target group.
Due to this I can say that, you can see the Classic Load balancer option under Auto-Scaling group but not the Application Load balancer directly. To use the Autoscaling group on Application load balancer you need to change the approach to implement the scenario.
Using the AutoScaling group with Application Load balancer
1. Create the Target Group. Refer Creating Target Group page provided by AWS
2. Create the Application Load balancer and refer above created target group under it. You can refer Create application Load balancer page provided by AWS
3. Create Autoscaling group. Refer Create autoscaling group using launch template or Create autoscaling group using launch configuration or Create launch configuration using EC2 Instance or create autoscaling group using launch wizard
4. Attach the load balancer to autoscaling group. Please follow step number 4 and 5a from this link
With the above things you will able to use the autoscaling group with application load balancer.
Thanks