What do you mean by connect?

Privacy benefits are (not limited to): when you want to check on transactions from/to your wallet, you are looking them up in your own node, and not leaking your IP address to public services like mempool.space. Let’s say you are waiting for a transaction to complete, by checking the transaction ID or by checking the receiving address. If you do this on mempool.space, you’ve created a correlation between that TXID or address and your IP address. Do this multiple times and a large inventory of correlations can be created. Instead, if you do this on your own node, you are only leaking your IP to yourself, so no/less risk.

There’s also the benefit of validating transactions and/or confirmations from a node you trust instead of a public service which could in theory be supplying fake information. Of course, this is only valuable if you trust your own node, and you trust the supply chain for how you got your node setup.

There’s probably more, but that’s what comes to mind