There may be two things going on here, depending on what "try" means.
If "as soon as I try to connect the line to a magnet point on the other side the line immediately disappears" means that the line disappears inside the shape before you extend it to the magnet, ignore that and just watch the crosshair cursor. You could also hold down Option until you get to the magnet, stop holding it, and then connect.
If "try" means that you've successfully connected to the magnet but the connected line disappears when it's inside the shape (priceless's discovery) and you don't want that, then I found a workaround that seems to work: Don't use the preset magnet arrangements in the Custom Magnets pulldown in the Connections inspector. Create the magnets yourself using the Magnet tool. Connecting to one of those keeps the part of the line inside the shape visible (assuming the line is in front of the shape, of course).