PHD2 isn't directly connected to the mount with this limited set-up so there's no sense in enabling the button for a "mount connection". PHD2 won't know where the scope is pointing, won't slew it, etc. All it will be able to do is route guide commands to the guide camera which will, in turn, send electrical commands to the mount via the ST-4 cable. This is the description of ST-4 guiding in the User Guide:
"With
this style of interface, PHD2
guide commands like "Move west 500
mSec" are translated by the intermediate device (camera, Shoestring
box, AO) into electrical signals necessary to drive the mount
motor for the correct length of time. "
The "intermediate device" in this context is your guide camera. So when you choose "On-Camera" for the mount connection, PHD2 only connects to the guide camera. The next thing you will probably get stuck on is that you must disable Dec guiding for your set-up because all the mount can do is make RA corrections. So in the PHD2 UI, choose a Dec guiding mode of "Off". If you don't do this, you won't be able to complete a calibration.
Bruce