The first message. Please set it now on the Connections : Settings page under the General tab. After you do that, it will be removed.
The second message. Please try deactivating and reactivating Connections. If it does not get removed, you’ll have to login to your site via FTP and manually add the folder.
The third message. Make sure the folder: ../wp-content/plugins/connections/cache is has write permissions. Typically this is 0755, but on very rare cases you do need to bump that up to 0767.