When you copied your data from the OnDemand instance, it probably also copied the setting for the Marketplace connection being disabled (since that's how it is in OnDemand). In order to re-enable the connection, you must be a system administrator-- not just a regular administrator. Your user account in the OnDemand instance would have been just a regular administrator. So, as you guessed, you'll need to hack the permissions in the database (you may findhttps://confluence.atlassian.com/display/JIRA/Retrieving+the+JIRA+Administratoruseful).
Once you're logged in as a sysadmin, you should see an option for re-enabling the connection as part of that same warning banner on the Manage Plugins page.
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