Had the same issue today with a brand new PS TV. Entering it manually led to an endless loading screen. Turned it off and back on, and the wi-fi was connected, voila! :D
@Xdqwerty, Osu! Tatakae! Ouendan! is the Japanese version of the game, different settings/characters/songs but otherwise identical mechanics. I played that before I knew about Elite Beat Agents lol. Both fantastic games https://en.wikipedia.org/wiki/Osu!_Tatakae!_Ouendan