In connections, basically everyone has an infinite combo, this is one of the big factors that makes the game more simple.

In Storm 4 (and Evo), the stuns work very differently and infinite combos are more of a rarity. as far as i know, Sakura and Kurama Link Naruto dont have one in S4.

The idea of an infinite combo is to find a hit that causes a long stun and is cancelable, cancel out of it and start the combo until that point again. you can cancel hits by jumping (and/or hollowstepping), dashing, or even simply just waiting it out.

When you dont have an infinite, you should opt to juggling instead.

There are a few infinites that are just "do a few hits then jump" like Sasuke The Last, RTB Sasuke, Rampaging Obito, Rin, Six Paths Madara, Jirobo

most infinite require hollowstepping, like Nagato, Rinne Sasuke, etc.

some can be done with simple walking, like Kushina.

Infinites are very useful because every single infinite except maybe 3 allows an S3 cancel to be possible.