Paths will connect rooms together. They are spawned and handled by the PathManager.
(Note : The DungeonPathManager is automatically created by the Generator. If you don't see it, select the DungeonGenerator and click on EditorInit (Under EditingGeneration))
Like the rooms, the Paths are setup inside DataTables. (Check DataTable section)
Paths are automatically generated between rooms which are connected.
To connect rooms you have multiple options :
You can manually create and place Path Guides in your scene. Those objects will generate a path. It's a good way to manually place paths inside the level.
To create a PathGuide, select the DungeonPathManager and click on EditorCreatePathGuide
Then move the extremities of the guide and click on EditorRegeneratePaths to generate the path :