The second screenshot there shows “Audio Connections - Studio”.
Those screenshots are from prior versions where the menu was labeled “VST Connections”, and the Tab was labeled “Studio”, now “Audio Connections” and “Control Room”.
Are you using 4.0.41 already? Then you should not have to reconnect several times anymore. Also those red LEDs are important to watch, no audio when those are continously active. Let us know if that helps.