Hi USA80,
Put simply, connections show the association between sets of records. It is an entity and means that you need to specify the connection role every time you create a connection such as a colleague. From here, you are able to create a Connection between any entity or record.
Whereas on the other hand, relationships reveal the association between entities. These relations can be 1:N, N:1 or N:N. Therefore, unlike Connections, relationships are not classified as an entity. The relationship established between different entities is configured from within the settings.
You can't see them all in a view, you just can see them in different views separately.