The "New Connection" button in the toolbar maps to "Open Connection" in the menu. These should have the same name. "Open Connection" is the logical choice based on the existence of "New Browser" and its cmd-N shortcut.

Along the same lines, consider changing "New Download" to "Direct Download" or something similarly descriptive that doesn't use the word "new." Then the remaining "New..." options in the File menu are consistently about creation -- browser window, file, folder.