Hi,
No, that is ok like this.
layer in this context means 'MAP layer', not layer in the sense of a layer of imported data. If you go to Layer > New map layer .. , that's the layer types you can usually connect to ( mapping layer, terrain layer, function layer)
But you can also take a second layer with e.g. parcel shapes on it and 'sample' ('map') the object attributes of those shapes. The option though only appears if something connectable is available. There's some complex heuristics going on that try to figure those possible connections out.
Ok ?