A friend of mine is trying to connect his EX1 to a Win7 computer, but it never fully connects. When he executes the connect command it stays "connecting" but never says "connected". However, he can see the clips and copy them with Clip Browser. This happens on both of his Win7 computers. I have never seen this happen before. It just says "connecting"
If you're referring to the status displayed in the camera's viewfinder, my cameras always say the same thing, even when connected with my Mac. You can assume that the camera is fully connected and transferring data normally.
Sony should consider adding more text to the same screen that says "just checking to see if you're awake."