I had the same thing happen to me today with a Dwolla to BTC address transaction. It ended with the "MTGox Connection error" error. Guess I'll send an email to support.
I did another transaction using the Moneygram method, and it worked fine.
[RESOLVED] 4/2/2013 - 1:30AM - It took four days and several attempts with support, but I received my BTC. Unfortunately at a rate about $20 more expensive than the day ordered.