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I would say that an error message is appropriate here, because the affine connection has been declared as a Python object, but not defined as a mathematical object: no connection coefficients have been initialized and no computation can be performed with an affine connection in such a state. In particular, there is no mathematical meaning of an "empty connection". The error message thrown by nab.display() could be improved though. In the current case, it is

ValueError: no common frame found for the computation

because Sage tries to evaluate the connection coefficients in the manifold's default frame for the display. A more explanatory message, like "undefined affine connection", could be more appropriate in the present case.

Note that the same feature occurs when attempting to display undefined tensor fields:

sage: v = M.vector_field()                                                      
sage: v.display()                                                               
ValueError: no basis could be found for computing the components in the Coordinate frame (M, (d/dx,d/dy,d/dz))