How bitcoin wallets connected between I'm thinking, is it dangerous to buy bitcoin, in case if government want to block it?
How bitcoin wallets connected between?
If I'm right - there are support servers, who providing connection between wallets?
At least, when you downloading cold wallet to your computer, it starts the download and syncs blockchain from the servers?
What if some government wants to block the servers?
Stopping the internet would be easier for your government than blocking bitcoin servers IP's.

You have not to download the blockchain to start using bitcoin or receiving bitcoin, download some wallet offline and use it or use blockchian.info since they support tor network so your government will not be able to block it. 

Wallets are not connected to each other, simply its just a software doing some math to give you a new address, existing address or creating a new transaction, then they broadcast that transaction to the bitcoin network (blockchain).