They ARE actually connected. If you go to your preferences (Part for current drawing, default for always) Display settings, you can crank up the wireframe quality to view the curves differently.
Rememeber that your video card will be dicing everything up into polygons in the view. It wont be able to show a "true curve", so at some type of zoom level, you will see "straight lines", and if there is a curve defined there, then the actual defined geometry will "look off".
Dicing things up at a more finite level will present a closer representation of the actual geometry, but you will be also taxing the system more (Video card working harder to present 100,000 polygons as opposed to 10,000)
On very light models, you can crank things up for a prettier display. On very heavy model, you can lower the settings for a more coarse display, but better performance with the viewport.
Hope that helps.