When you create a task within Microsoft Dynamics CRM 2011, you click Add Connection and then click Save and New. In the new Task, the Connected From field is not longer populated.
This is caused due to the order of operations that occur when choosing Save and New for the Dynamics CRM 2011 for in the web client.
This works when using Microsoft Dynamics CRM 2011 for Microsoft Office Outlook. If you do not use Microsoft Dynamics CRM 2011 for Microsoft Office Outlook, you will need to manually populate the Connected From field after Save and New is selected.