Hello,
May I recommend to add this for the future as a possible to do list for ESRI Ideas ?
When you open a project in ArcGIS Pro and you need to add connection. It is a bit more of work to do however, I have an idea and there is one missing thing.... is
Add a folder connection to the option to do list ? See under the screenshot

Example, in the Catalog VIew You have list of the folders and if you need to add a folder you want to your current project you are working . Just right click on the folder and hit the Add folder connection tool
This is my one cent penny idea.