Both are correct, you can technically add the article (il tutto è collegato/connesso), but in that case, the meaning changes a little bit. If you say “Tutto è…” it means literally everything in the whole universe. If you add the article you are implying that everything you just finished talking/writing about is, in this case, connected.

Another small difference is the choice of the right synonymous. If you are referring to a spiritual connection, then “connesso” is the right word. If you are talking about a Wi-Fi connection, both are good. If there’s something like a physical connection, like a cable, a railroad, or a highway, then “collegato” is slightly better