Check if servo is connected to arduino
You cannot check, if a servo or a wire is physically connected to the pin, without extra effort. The Servo library uses Timer interrupts to create a PWM signal for the servo on the used pin. For this the pin is configured as OUTPUT and cannot measure anything except of the value, that was written to it. In most servo motors the PWM input is high impedance, so that the current draw from the PWM pin is very low.

To solve your problem you have 2 possibilities:


Use a special connector, that has 2 extra pins with a mechanical switch, which gets closed, when the connector is put together. (The same principle as in SD card holders)
Measure the current, that the servo uses through it's power supply pins, with a suitable circuit.