The described behavior is by design in diagram in order to see the difference when you select only one item or a group of items. If you want to change this, you can use a custom style and edit the template of RadDiagramConnection as you can see in our help topic Editing Control Templates
For your convenience I implemented this approach in the attached project where I used Office_Black theme, NoXaml dlls and changed the Selected visual state to be the same as SelectedInGroup. I hope this information helps.
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