With information links you can simply give Access permission to the users and the info link can be used in a dashboard, without letting users browse into the folder the info link and use it. With data connections this is not possible: you must grant Browse+Access to the data connection and the data source for it to work correctly. However, this would enable a user to leverage that created data connection for some other dashboard if he/she wants. It would be great to let a user use the connection but only when used through dashboards