PerKr,
Basically, CATIA creates a null–length rigid bar at the middle point between the centroids of the two surfaces to connect. Then, each extremity of this null-length bar is connected via a rigid spider (equivalent to MSC/Nastran RBE2 element) to the nodes of the surfaces. Being a rigid spider means that the nodes on the surface will not deform releative to each other. A round hole will remain round. (displacement of independant node = displacement of independant nodes)
For the smooth connection property, the nodes on the surface will be able to deform relatively to each other. Instead of being a rigid spider, it is a smooth spider (equivalent of RBE3 in Nastran). Therefore, the round hole can now deform and becomes flat for example. (displacement of dependant node is a weighted average of the displacement of all the independant nodes)
The question now is what is more representative of your structure. Smooth or rigid could be a good assumption depending on what you think is closer to "reality"
Changing from smooth to rigid can change the load distribution as well as stress distribution.
You could also use a user-defined connection properties which allow you to define separate condition on both surfaces and how they are connected to each other like Rigid - spring - Smooth. (meaning that there is a ridig spider on one surface, a smooth spider on another surface and they are both connected using a spring element with a defined stiffness.)
I hope it is not too much confusing and that it answer your question. And yes, the Catia Documentation is not very clear, so sometimes, you need to make a lot of test case just to understand what exaclty does the different icons.