use existing connection as a data source generate new connection, why?

[MGadAllah]

Creating a new workbook and save it with name BOOK1.

Creating 1st table for my data in BOOK1, and give it a name FIRST.

Creating 2nd table of my data in BOOK1, and give it a name SECOND.

Creating a new workbook and save it with name BOOK2.

Inserted the 1st table into the BOOK2 as a connection.

Inserted the 2nd table into the BOOK2 as a connection.

Appended both connections into a new one titled ALL.

Now when I insert a new PivotTable into BOOK2 and use ALL connection as a data source, I've found a new connection being generated.

I've made a video with full details
YouTube video
Thanks