The only reason you would want to connect the tail wheel is if you want to steer your plane while it's on the ground. If you don't connect the wheel to the rudder you will only be able to steer the plane when there is enough air traveling over the rudder to move the tail of the plane. This usually doesn't take effect until the plane has picked up a little bit of speed.

A couple of times at the field I have had broken tail wheel/steering problems. Not to let this ruin a day I was still able to fly by using the rudder to steer while taking off and landing, but I had to carry the plane to the runway and back. No way to steer while taxing out.

You will definately want to connect the wheel to the rudder.