re: Do we have to manually remove the folder and plugin each time there is an update?
It seems for whatever reason WordPress, not Connections, is unable to delete the folder when it is updating the plugin. I’m not sure there is anything I can do about that from my side because that is either a WordPress or server issue. All I do when releasing updates is upload the new files to wordpress.org and their servers packages and distributes the files.
Do have to do this with any other plugin?
re: Does that lose data at all?
Nope, the data is safe in the database.
Not sure if this helps at all, but I hope it does!