It would be nice to have the ability to utilize connections that are on FME Server within your FME Desktop workflows. This would be nice as it makes managing connections for FME Server Admins/Publishers easier. It also feeds into the mentality of create once, allow users access. It also would provide security by allowing users to utilize it in their workflows without having to provide credentials to access it.
Currently if someone creates a named connection in their workspace (that is different from the one up on Server, even with the same user) and uploads it, it will still need to be authorized (ie. ArcGIS Online User).