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Hi,
Unfortunately, the option which you are looking for is not available in OneNote 2016.
You may insert connector by going to Draw > Shapes and insert the arrow and text boxes but connector will not be connected when you move the text boxes.
We listen to all feedback and consider them for additional feature/future versions of our products. Your feedback helps us know which features are most important to you.
We appreciate your continued interest in Microsoft products and services. Microsoft is committed to continuously improving your experience with our products.
However, you may share your feedback with us by clicking on File > Feedback any Office document.
If you have further questions related to this, please let us know.
Thank you.