When the ActiveTool is the Connector Tool and you click on a shape, the RadDiagram tries to create a connection starting from the nearest connector of the shape. However, in your case this shape does not have a connectors and the diagram deliberately throws an exception - "The Shape has no Connectors".
If this does not fit in your scenario а possible way to go is to create custom ConnectionTool. You can find a sample implementation in the attached solution. Furthermore, you can explore these help resources:
Telerik XAML GitHub Repository: Diagram Custom Tools Demo
RadDiagram Tools Customization
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