You want to change layout of the default connector’s items (size, color, direction etc.)
In Visio 2007:
Switch Visio in the Developer mode. Open Format - Define styles.
Select under Name “Connector” (Verbinder) and change Line format for it.
In Visio 2010, 2013:
Switch Visio to the Developer mode and under File-Options-Advanced tick ”Run in developer mode“.
Under the tab Developer the Drawing Explorer Window appears. Right-click on “Connector” and click on “Define Styles”.
Now when you connect 2 shapes to each other, the format of the connector will correspond to your settings.