You should not have the same ldap server listed in more than one User Directory Object (UDO). That will hurt performance, not help performance. A UDO will only be used if you add it to a Policy Domain or Application (PD/A). To make use of multiple UDOs, you must add more than one UDO to the PD/A. Then within a PD/A, during authentication SiteMinder will always choose the first UDO to try to locate the user's account, and it will ONLY access other UDOs if the the account is not found in the first UDO. Thus if the UDOs point to LDAP servers containing the same set of accounts, it is guaranteed that the UDO listed first will always be the one that accounts are located in, and the others will only be searched if a user mistypes their login ID, and those searches will be wasted time since it is guaranteed that the searches will fail in each of the subsequent UDOs.
So if you only have one set of accounts, that is one LDAP Directory ( but possibly instantiated on multiple replicas) you should only have one UDO. But like I said above, in that one UDO, the same LDAP directory can be referenced more than once in load balancing relationship to gain some performance improvement.
To answer your question about when connections get established, I don't really know for sure, I have never researched the topic. The smart approach would be to establish connections at startup, but only for directories that are in a UDO that has been assigned to a PD/A.