For what I could find, a developer should set 'dynamic properties' for the control in the properties tab of visual studio to tell visual studio that the property is read from the configuration file. I think you should set (haven't tried it) a dynamic property on the control called Main.ConnectionString and give it the value in the config file.
At the moment having generated classes as components is not fully supported, as I have to implement an interface for that, IComponent. This will be done for the 2nd template set, which will also get IXmlSerializable support, late November.
Let me know if Dynamic Properties do work or not.