You can disable the Connect to Server menu in OS X. This can be done via MDM or using defaults. To do so with the defaults command, send a ProhibitConnectTo key into com.apple.finder as True and then restart the Finder, as follows using the defaults command:
defaults write com.apple.finder ProhibitConnectTo -bool true ; killall Finder
To undo:
defaults write com.apple.finder ProhibitConnectTo -bool false
