They connect but their is fence in the way that you have to jump over. Super lame.

Did Bethesda not catch this?

Mine connect, maybe you need to try building them in a different order? I have had two so far I think, although more than those two wings connected. I always do the bedroom wing first, since it takes a bit longer to work out what the north wing is going to be. Bethesda not testing all the options is not really something new.

Edit
Went back and rebuilt a house, bedrooms and storage with no east wing, you have a fence separating the two, as soon as I built the east wing (armory in this case) it vanished. The order I did them in was west, north then east.

1. Building that way with bedrooms, storage and armory wings I had a balcony going all the way around the house, no dividing fences.

2. Building it in the order storage and bedrooms only gave no fence, but as soon as you added the armory, the fence appeared between the bedroom balcony and the storage balcony. There was no fence between the storage balcony and the armory. FAIL

3. Building it in the order armory then storage with no west wing gave a fence, but again when you added the bedroom wing the fence vanished and the balcony went all the way around the house.

4. Building armory, bedrooms and then the storage wing there was a fence dividing the armory and storage balconies, no fence between the storage and bedrooms balcony. FAIL

5. Building bedrooms, armory and then storage gave a balcony that went all the way around with no dividing fences.

Those are just the possible building combinations for those three wings, but I would think each possible combination of the nine wings would have been tested for going either way west, north, east or east, north, west but maybe some of the more muddled ways of building were not tested for balcony comparability. Stick to a predictable way of building they should join up. Yes I suppose they should have tested all the combinations, but there are a lot of ways these 9 wings can be built, maybe they missed a few, they would have been testing for other problems as well.

awesome info aussie, i want to try myself now, just to see an entire 2nd floor deck around my house.

Thanks for the work Aussie500! I decided to do the Alchemy Tower instead. Which annoys me too, I thought the two floors would connect via spiral staircase or something and it hardly adds any space!

The enchanters tower is a lot better, leave out the enchanting table though, it just looks too crowded and is not needed. But an armor/weapons fan will appreciate the extra mannequin, weapon racks and display cases the enchanting tower has. The Alchemy tower was not that bad, table is a waste since you cannot decorate the table, and next time I will be also be leaving out the safes and trying to not build the barrels on the lower floor. I would rather have use of the table but have not tried it yet.

A spiral staircase would have taken up the entire tower so the tower would have had to have been a lot bigger, I would not have minded that though. All my characters are always after more SPACE for their stuff. Not necessarily more storage space, just more space to display it.

I've felt that the towers in Hearthfire have all been really cramped and small. I wish the towers had been larger, with more space to move about in. I have the library and its far too cramped. One the bookshelves are in there is next to no space to move about. If it was just a bit bigger, well then we would have more space to move about and I would be happy. Same goes for the other towers.

Yeah, towers definitely should have been a bit wider around. The other wings are so much bigger than the towers. Though, the other wings do not have the top floor option.

Actually, in the numerous times now that I've rebuilt my homes , I've found that - for me at least - the separating fence seemed to be a random occurence. I almost always build library, then bedrooms, then storage, and sometimes there's a fence between bedrooms and storage, and sometimes not. Reloading and re-adding the storage always seemed to fix it. Same when I was building armory, bedrooms and storage.

There is an simple fix for the problem......after building the bedroom, build something outside(table or candle for example)......THEN start to build the storage and all is ok.
The same goes for weapon, armor room, first build something outside the storage.
I tried this on many different chars and the problem (bug) is reproduceable.
The fence is not removed if there is nothing build outside of the part of the house that needs to be connected.