Why are you wanting me to connect my financial accounts, and why is there no way to opt out of this?

What were you trying to enter?   Some banks and financial institutions are partnered with TurboTax to allow importing your tax information from them.  You do not have to import it.   You can click on "I'll type it in myself" and key your information in by hand.

This is only if you want to import your tax forms. You should see under the box a place to click that says you will type it in yourself.

How do I import my 1099s?