When its connected...you mean when its plugged in or online?
Heat can be produced when it is charging, although typically its the power brick that gets fairly warm. It can get warm when in use, especially if watching video or def when playing games or other CPU/GPU intensive activity.
That thing is pretty loaded for a laptop, more like a desktop replacement so I imagine it can get pretty toasty. However if it seems to be getting really hot, you may want to contact the manufacturer if its under warranty. My laptop burned out and I had to rma. The new one has been better, but like you I bought a cooler for it. I would give them a call anyway just to be safe.
It is better if you know your temp before making judgement on your laptop overheating. Often what people think is hot is really really the normal temperature of a laptop. Remember laptop have limited space for cooling so the it will run hotter than a desktop and the part also has higher thermal rating then the desktop parts.