What I've found so far is that you have to select the document and click "check out" in Document connection and then double click the doc to open for editing, and then close the document and click "check in" in Document Connection to check back in.
If you open the document from Document Connection, and try to check it out by clicking the button on the yellow bar in Word/Excel/PPTm it throws an error saying the document has been moved or is not available for editing (both false).