Honestly, that depends entirely on the goal of the whole setup … but for now, I recommend creating a “Results” page with just the
[connections] shortcode on it and set it to the directory home page with the All template type set to the one you like the best.
As for the preview, yes, you need to publish the page for the Connections and it’s queries to work correctly. This is because while previewing a page, that page does not “exist”, yet, and since the page does not “exist” Connections does not know it exists. I hope that make some sort of sense.
Hope that helps!