I am very new to Figma and can’t figure how connections between screens work.
I have search of videos but did not find anything helpful.
For example, I am making a mockup app and want to connect the splash screen with the following screen. I click on Prototype mode and then double click on the splash screen and no connection + appears. Also, some buttons have + and some other don’t.
What am I missing? 
Are your screens placed in separate frames on the canvas without any extra groups on the top level of layers hierarchy? If so, send the file link.
Oh no, not all were on frames, some were in simple rectangles. I guess there lies the problem…! thank you for responding to me!