How are you attempting to connect them?
Looking at the Experia J features it does seem to support Wifi Hotspot, but there is no mention of a Bluetooth hotspot. Different phones offer different things.
The iPad issues the message, because there doesn;t seem to be anything it can do with it. But this is not something apple is blocking its more a limitation or a non present feature of the phone.
From the Manual which I assume you've read through:
To share your phone’s data connection as a portable Wi-Fi® hotspot
1 From the Home screen, tap .
2 Find and tap Settings > More… > Tethering & portable hotspot.
3 Tap Configure Wi-Fi hotspot.
4 Enter the Network SSID for the network. Tap the Security field to select a
security type.
5 If required, enter a password.
6 Tap Save.
7 Mark the Portable Wi-Fi hotspot checkbox. The phone starts broadcasting its
Wi-Fi® network name (SSID). You can now connect to this network with up to
8 computers or other devices.
8 Unmark the Portable Wi-Fi hotspot checkbox when you want to stop sharing
your data connection via Wi-Fi®
When that is set up, you can use your iPad to look for the Wifi network the phone is providing and connect to it as you would any wifi network.
http://www-support-downloads.sonymobile.com/st26/userguide_EN_ST26_1268-7245.1_A ndroid4.0.pdf
http://blog.clove.co.uk//wp-content/uploads/2012/11/Sony_Xperia_J_ST26_User_Guid e.pdf