Normally I have iTunes already running. In theory Calibre should be able to start iTunes and I never rely on that.
When you click the "Connect to iTunes" option then two things should become visible:
- The bottom of the screen should update itself to say it is connected to iTunes
- The 'onDevice' column should appear which then gets updated to indicate if any Calibre books are on the iDevice.
If that is not happening, then I am not sure what that implies.