Thanks for pointing to that document. Publication 1769-UM021 is the User Manual for the 1769-L1 family of CompactLogix controllers.
I have the 2012 version of that document, where that citation is on Page 126, and reads:
All CompactLogix 5370 controllers must use unconnected MSG
instructions. When you configure a message for a CompactLogix 5370
controller, make sure the Connected checkbox on the Message
Configuration dialog box is cleared.
The comment is made in a section of Chapter 6 (Communicate Over Networks) that is specifically describing how to use the Raw Socket interface mechanism, which is generally used for communication with things like barcode readers and label printers.
The third paragraph in the Socket Interface section of Chapter 6 suggests that the Unconnected requirement is specific to the Socket Interface:
All CompactLogix 5370 controllers must use unconnected MSG instructions with socket interfaces.
This specific User Manual does not include a step-by-step example of ordinary CIP Data Table Read/Write messages because those are covered in other user manuals like 1756-RM003, the General Instruction Set Reference.
Appendix B of the 1756-UM021 manual gives a little table of connection capacities for the controller, which includes both 256 CIP Connections and 256 CIP Unconnected Messages.
In summary: I think that the comment in Chapter 6 about unconnected MSG instructions refers only to MSG instructions used in the implementation of Socket Interface features.
I found a Knowledgebase document (ID# 539345) that described the error message you get when you leave the Connected checkbox selected when implementing a Socket Interface with a CIP Generic MSG, and it re-iterated that CIP Generic MSGs for Socket Interface need to be un-Connected.
I'm not certain about that conclusion, though. I don't have a 5370 series CompactLogix handy to test with.