There are so many websites these days that require you to connect. I've been connecting other wallets with low balances to test things out, but there doesn't seem to be much information around on what is good practice here.
My big balances are secured by Ledger so I suppose I don't need to worry about the coins simply being stolen without my approval, but what if I connect the Ledger to approve some coins and it steals other coins or uses the approval for something else. Is any of this possible?
When should I not connect to a website?
Whenever you find yourself in a scammy site, you should probably reconsider.
There have been instances where people have gotten their NFTs stolen from them because of the fact that they connected to phishing sites with their metamask wallet. So this is definitely no joke here.
But so long as you don't go out of your way to connect to scammy/phishing sites, you should be okay. Stay as viligant as you would be on Web2.0.