For some reason, I built the bedroom/armory/storage room wings because I wanted the balconies to connect together. The bedroom and storage wings connected just fine, but the armory wing isn't connected with the storage wing. Well, it is connected, and it isn't. There's a wooden banister/handrail blocking the path between the armory and storage wings.

I have a previous save I can reload to fix the issue, but my question is what is going wrong? In what order should I be making the wings so as to avoid any bugs like this? I don't want to rebuild and have the same problem yet again.

It's a bug; just reload and try again. There doesn't seem to be any rhyme or reason to it.