How about some feedback about the connection. Like an icon or status bar message. I'm behind a firewall and can't tell if I'm connecting.

In the lower left corner it will tell you if you are connected, see image below



Also once connected from time to time you may see the message 'connecting to the Gnutella network' in the lower left. Its a normal part of the program and will not affect your downloads , XoloX is simply finding and connecting to new hosts and still maintains connections to other nodes.