IMPORTANT: It might be the case that the connector can also be created successfully without creating the RFC destination.
The problem is that if you do not create the RFC destination, some UWL features (like Delta Pull or Refresh of Completed items) might not work once you decide to enable them.
It can also be the case that after some upgrade, more strict RFC authority settings are introduced at the ABAP system level. As a consequence, it might be the case that end users won’t have enough authorization to perform some UWL operations. Thus, it is recommended to configure the UWL destination at the first place, so that the UWL operations are executed by a service user (UWL_SERVICE or the one which you use in the destination setup) rather than by the end user.
Basically speaking, it is always recommended to properly set up the RFC destination before creating and registering the UWL connector.