I have connected domains before, but I usually just purchase domains directly in Squarespace and keep the hosting there. In my current situation, I have a client who purchased a premium domain that was for sale on Go-daddy. Because it was a rather expensive premium domain, it took 11 days for the domain to appear in my Go-Daddy account. I finally had access so I went in and added the correct DNS settings to the domain in Go-Daddy to begin the connection. It said it can take up to 24 hours but that it's usually done within an hour or two.
It's now been over 24 hours and it still says "connection in progress". Has anyone else experienced this? Did I skip a step?