They were always connected to a degree... I was always kind of upset that they weren't more connected. the point was that you were supposed to read both of them at the same time and that was what was innovative.
However, I am currently annoyed with xxxHolic in particular because nothing is happening at all... they have the same stuff happening in three chapters that are released about a month apart...
Spoiler (highlight to view)
and without Yuuko the story suffers a lot sadly...
It is still among my favorites nonetheless, I just hope event kick up again soon.