Well, as to your question about upgrading data connections -- InfoPath 2010 uses a different format for SharePoint data connections, and it is telling you that to save your form as an IP 2010 form, you need to upgrade those. You may want to try walking through the data connection wizard again for those.
As to your initial error -- does it happen with just this form? Or with any form? If you try to create a new IP 2007 form using your IP 2010 install, does it crash when you add a data connection? If so, repair or re-install IP 2010. If it is just the form itself, you may want to try saving a copy of it as IP 2010 form, see what happens when you try to add a data connection....