You may have noticed that while using “Connect As” the last location visited is not cached in MMC as you may expect when launching the with different credentials.
This is by design. The “Connect As” feature is always tied to the credentials originally used to initiate the process "mmc.exe”. So, no matter what credentials you use with this feature, the last location cached is always associated with those credentials.
While connecting to the service using the “Run as a different user” feature, it launches the MMC with the pertinent credentials, allowing those to be cached as expected.
Launch the MMC console using the “Run as a different user” feature to access cached last locations.