The number of connected components in the context of cyclomatic complexity
When they say connected component, they mean a weakly connected component. Take a look at the third formula they provide in the Wiki.

For a single program (or subroutine or method), P is always equal to 1. So a simpler formula for a single subroutine is M = E − N + 2.

This implies that for $P &gt; 1$ is used for multiple programs. In other words, it is used for programs with multiple start points with distinct end points.
So for the first formula, it takes in consideration of multiple programs, subroutines, or methods that are completely disconnected from each other (i.e. they do not call upon or interfere with each other) in a single program control graph.
The following is an example where the first formula would be applied. Here $M = 9 - 8 + 2*2 = 5$.