Edit the page with the shortcode, switch the page editor to the
Text tab. Remove any HTML or other text from around and within the shortcode and then update the page.
Also, make sure you have a space in between
order_by='first_name|SORT_ASC'. The code pasted above was missing the space.
[connections category='5' order_by='first_name|SORT_ASC']
Hope that helps, let me know.