Servers in the same NNN do not need connection documents for mail routing, but do need connections documents for replication.
I've struggled with actual configurations before as well, but lately I try to set both to and from connections documents, and usually try to stagger the times; ie Server 1 to Server 2 every 30 minutes starting at 00:00, and then a second connection document from Server 2 to Server 1 every 30 minutes starting at 00:15.
That way if a replicator goes down or gets hung on a long replication, replication still happens from the other server. and the replication 'load' is spread out instead of all servers replicating at the exact same time.
Also, if your hardware is adequate, be aware that you can set up multiple instances of replication - on your hub server, for example, I might recommend adding 'Replicators=2' to your Notes.ini.
If you have servers in clusters, you'll probably want to set up replication between the clustered servers as well as the hub.