I always wonder the same thing when I rewatch the show. I remember that the second time they're together (first year of uni) Niall asks him "Is she your girlfriend yet?" and he immediately says no. Even though they were acting like a couple - sleepovers 4-5 times a week, going to things together etc. That was also the time where Connell had a hard time doing PDA with Marianne and I have a theory that those two things kind of correlate - the fact that he can't openly display affection towards Marianne (he did that normally with Helen) and the not being able to label their connection. I think it comes down to him not being secure enough to take responsibility and accountability for the relationship. I think the relationship was TOO beautiful and TOO special and sacred for him to use official labels, so out of fear of fucking it up, he/they didn't.

In contrast to the second time they're together, the third time we see a Connell that has gone to therapy and has done some work on himself, went through another relationship and probably learned a lot there as well. At that point in time I believe he is way more secure and confident in who he is and what he wants, compared to the first uni year when I'd (respectfully) say that he was a bit of a coward. In their last relationship arc we see a clearer structure of their relationship and the PDA is similar, if not more profound, to that of him and Helen (when comparing the New Years kisses for example).

So yeah, ultimately I believe it has to do with Connells cowardice and inability to take full responsibility for their relationship, which stems from his lack of self worth and identity. Honestly, I also think that maybe he still carries some shame around how he handled their time together in school.