Do I need to connect the main and add-on boards together?
There are no wired data connections between your main Konnected board and your add-on board.
But if you are using a pigtail to power the boards you may want consider how you want to position and mount your add on board. Don't stretch the cords.
You may also want to consider where how your sensor wires are coming into the board.
Next Step: Wiring Window and Door Sensors