The group of people working with Qt is obviously broader than well-versed unix programmers. I find it weird to talk about connections when you are dealing with a protocol that does not handle connections. I looked it up what it does in Unix. It seems that it does two things:
set a default host address where data packages are send to
limit receiving datagrams to only those from the host you "connected" to.
The QUdpSocket documentation mentions neither, but seems to do something like 1) at least. What's more, it first states that UDP is connectionless, and then in the next paragraph, explains that you need to connect to use certain methods. Excuse me, but I find that weird and inconsistent, no matter what older Unix API may use the same kind of terminology.