Drag the mouse over the end of the existing road. They don't auto-connect because you sometimes want two roads next to each other that aren't connected.
I will try again later today, but honestly, it's confusing. You probably don't want to explain this to every new user :-)
The default should be auto-connect, and then for the edge case you explain how to avoid it.
I found it very intuitive to be honest, maybe some visual highlight is missing when dragging and dropping with the road tool.
