This boils down to basic linear algebra, and really has nothing to do with manifolds. Let $V$ be an $n$-dimensional vector space over any field $\Bbb{F}$, let $\beta=\{e_1,\dots, e_n\}$ be a basis for $V$, and let $\beta^*=\{\epsilon^1,\dots, \epsilon^n\}$ be the dual basis. Now by definition of $\beta$ being a basis for $V$, what does that tell us? Well, for any vector $v\in V$, there must exist unique scalars $c^1,\dots, c^n\in\Bbb{F}$ (depending on $v$ of course) such that
\begin{align}
v&=\sum_{i=1}^nc^ie_i.
\end{align}
In fact we have that for each $1\leq i\leq n$, the coefficient $c^i$ is equal to $\epsilon^i(v)$. The proof is simple; apply $\epsilon^j$ to the equation above, then you get $\epsilon^j(v)=\sum_{i=1}^nc^i\epsilon^j(e_i)=\sum_{i=1}^nc^i\delta^j_i=c^j$. In other words, the role of the dual basis is to pick out the coefficients in the expansion of a vector in terms of a given basis. Once again, summarizing, given the basis $\beta$ and dual basis $\beta^*$, we have for each $v\in V$, that
\begin{align}
v&=\sum_{i=1}^n\epsilon^i(v)e_i.\tag{$*$}
\end{align}
By the way, just as a side remark, if you unwind the definition of the isomorphism $\text{End}(V)\cong V^*\otimes V$, then the above equation is saying that the identity map on $V$ corresponds to $\sum_{i=1}^n\epsilon^i\otimes e_i$.
By applying the equation ($*$) at each tangent space, you’ll see that (being careful to not overload indices)
\begin{align}
\nabla_XE_i&=\sum_{j=1}^n\epsilon^j(\nabla_XE_i)\,E_j.
\end{align}
So, the definition of the connection 1-forms is obvious: simply set $\omega^j_i(X):=\epsilon^j(\nabla_XE_i)$. In words, it says $\omega^j_i(X)$ is the $j^{th}$ coefficient function in the expansion of the local vector field $\nabla_XE_i$ relative to the local frame $\{E_1,\dots, E_n\}$.
Finally, as for why $\omega^j_i$’s are 1-forms (on $U$), this is obvious once you note the dependence on $X$ is $C^{\infty}(U)$-linear since $\nabla_XY$ behaves (by definition) in a $C^{\infty}(U)$ linear fashion with respect to $X$, and so is each $\epsilon^j$.