I assume you're talking about .Net. I have no idea why it forces you to create a new connection for each new data adapter created in the visual designer. But I do know that it's very annoying, especially when you're using a dynamic connection and then .Net keeps trying to create static ones.
I've no boubt there's some obscure checkbox somewhere that tells the designer not to behave this way but I've never come across it.
My solutions:
1) Do it the old fashioned way without using the visual designer
2) Put up with it and just keep deleting the new connection and reconnecting your DAs to the original connection object
All the best