yeah, what happends is if you have 2 curves that touch on BOTH ends, it doesn't know which end to attack to each other. Happens in attaching nurbs surfaces, too.

What you do is right click on both and go into Curve Point component mode. Click and drag on the curve to the very end for both, in essence, selecting a curve point at the very tip of each curve where you want them to connect.

Then do the connect and it should work.