On the top-level 'Connections' in the Connections panel, I clicked the Default Inheritance button, and then changed 'Inherit Protocol' to 'Yes'.
Now, when I create new connections, their Protocol shows as 'Object reference not set to an instance of an object.'
The top-level 'Connections' does have a protocol defined in its default properties. I've changed this from 'RDP' to 'SSH version 2' and this makes no difference.
Am I doing something wrong or is this a bug?