"Join" is a far better word because joining is a stronger bond than connection. "Connect" would not wrong but it is too broad a concept. It means causing the two sentences to relate better to each other. But the two sentences are ALREADY connected. They ALREADY fit nicely together. In this example, I will connect two sentences without joining them. The sentences are: "In Costa Rica it is raining today." "Costa Rica is a country in Central America." Those are two good sentences but they are disconnected. Now let's connect them without joining them: "In Costa Rica it is raining today." "Costa Rica is a country in Central America where it rains a lot."

‘Join’ is more precise, and therefore better for instructions. Replacing it with ‘connect’ is good English but doesn’t mean the same thing as ‘join’

Yes, you can say "connect the sentences in Exercise 6 in two different ways." Replacing "join" with "connect" works well in this context. Here's the revised instruction: Connect the sentences in Exercise 6 in two different ways. Use when and while. This conveys the same meaning and is perfectly natural.