Moros was referring to this map:
http://warlight.net/SinglePlayer?PreviewMap=2The original Risk board game that Warlight is based on used the above map, and there is supposed to be a connection between Europe and Scandinavia. Not really a missing connection though because there is no line in the water between them.
I suspect the connection is not there as a copyright thing so that they did not copy the board game exactly like it is.