This example adds two rectangles to myDocument and connects them with a curved connector. Notice that the RerouteConnections method makes it irrelevant what values you supply for the ConnectionSite arguments used with the BeginConnect and EndConnect methods.
Set myDocument = Worksheets(1)
Set s = myDocument.Shapes
Set firstRect = s.AddShape(msoShapeRectangle, 100, 50, 200, 100)
Set secondRect = s.AddShape(msoShapeRectangle, 300, 300, 200, 100)
Set c = s.AddConnector(msoConnectorCurve, 0, 0, 100, 100)
With c.ConnectorFormat
.BeginConnect ConnectedShape:=firstRect, ConnectionSite:=1
.EndConnect ConnectedShape:=secondRect, ConnectionSite:=1
c.RerouteConnections
End With