No, you don't have to have it connected as soon as you beat the game, but you do need to beat them. All you have to do is have the GBA with Metroid Fusion connected to the GCN and have it on. On the main menu of Metroid Prime, there's the option at the bottom about the connectivity feature. Just press A on that and that should be it. You get the bonuses depending on which games you've beaten. That's all. Hope that helps.