'Connection not found' error thrown at end of task, after the package has successfully used the connection it refers to as missing
I figured this out and documenting here in case anyone comes across this question with the same issue.

Within the Execute Package Task Editor I had chosen the Reference Type as External Reference and was linking to the .dtsx file within the file system. It seems that this option, when run directly from Visual Studio at least, wasn't cleaning up properly.

To fix, I changed the Reference Type to Project Reference and choose the required package from the list of package within the project. This ran 100%.

I have gone as far as setting this up on management studio, but to run from within Visual Studio, this fixed the issue.