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I agree with the comments so far that "connect" is vague ... but perhaps deliberately so, since people are trying to find a single word to cover all the different ways a reader might connect with the characters and/or story. I do not see it as a synonym for "like".
A character may be frustrating and annoying and generally dislikeable, but if they remain all these things in a coherent way that makes sense to the reader then a connection of sorts can be formed: here is a character I understand, or even here is a character I wish to understand; or maybe here is a character I despise and which to see get their comeuppance, or here is a character I would like to see redeemed because of something I see in them. These are all connections of sorts, relationships that the author has evoked from the reader; or sometimes these connections rise unintentionally, where something in the reader's background makes them react to particular characters in unanticipated ways.
We could perhaps decide that "connect with" really means "find interest in", in this context. But replacing one vague phrase with another is probably not much help.
Am I defining "connect" too broadly just so it works for me? Perhaps. I'm not sure if I've used the phrase myself, but I feel like I get the sense of it. (And yes, "get" is another vague word.) It is nebulous, but then our reasons for liking one book over another often are.
So I think "connect" is used as a shorthand to cover a range of things, but may most usefully defined in by inversion: I tend not to like fiction where I feel disconnected from the characters and story. You see in that, that "connect" is about feeling involved in the story, not alienated from it, but how that feeling of involvement, of connection, occurs will vary with each book.
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