Why am I being asked to connect to a dapp?

For sites to see your account address, they must ask you for access. All they're gaining in these situations is the ability to see your address, and, by extension (since everything is viewable on the blockchain), the funds you hold. This does not mean they can access and move your tokens around — for that, you'll need to sign a token approval.

intro to dapps

Learn more about dapps here.

You will only be required to connect to a dapp once. After that, you'll be able to see it in your 'Connected sites'. For more detail on viewing connected sites and for how to disconnect from them, see here.