It seems easier for the server to cheat in connected mode. With contributed mode, if they have doubts, miners can log how many shares they contribute, check how much they gain, and decide whether it's fair. The server could "invent" imaginary shares to keep some bitcoins, but at least you have some hard numbers to check. With connected mode, how would you know if you got a fair share ? What if the server pretends you were not connected when the block was found ?
It's more difficult, in fact. The server continually tells you what it believes your hash/s is. You can compare this number with other servers to see if it is reasonable. When a block is found, you can calculate your share from the server-reported total hash/s. Over many blocks, you can check that the server's hash/s is accurate by seeing if the actual time to solve blocks matches the projected time at that hash/s.
People will get very angry if they appear to disconnect just before a block is solved...
Since the shares in puddinpop's server are divided within the generation transaction and you download the temporary block, you can also see exactly how the block reward would be distributed at any given time. Verify that you and some other people are listed at an appropriate amount.