Where does the SWD header in this schematic connect to the microcontroller?
Yes, they're connected.

This schematic uses the convention that any labelled net is connected to all other nets with the same label. For example, the two nets labelled "SWDIO" and "SWCLK" on the SWD connector are connected to the pins with matching labels on the microcontroller. Similarly, the pins on the two 20-pin connectors all match up with pins on the microcontroller -- they aren't left dangling.

(There is also an error in the schematic: the pins on the microcontroller are erroneously labelled "SWIO" and "SWCLK" instead of SWDIO and SWDCLK.)