Most road were well aware of the advantages of connecting, BUT the owners of the roads lived in the towns where the roads did/not connect and had to be aware of the desires of their friends, neighbors and fellow stockholders to have the fire-breathing monsters kept out of town and to have the passenger and freight go through town. As the owners became separated from individual towns (ie as the roads consolidated and became much larger) it became easier to find ways to connect and ignore the townspeople's concerns.Railroads in that era were not built to connect. Even roads of similar gauge did always connect. The railroads were just beginning to learn that lower costs and better service produced by cooperation meant more revenue for all the companies.
Several examples of per-war connections are at Savannah, Columbia and Charleston. Other towns quickly allowed connections under the wartime needs -- Memphis, Petersburg and Richmond are examples.