Note the :CONNECT command is used to connect to another server.
Because everything else works pretty much the same, and you get a whole lot of additional options, you might choose to open all your new queries in SQLCMD mode. That’s easy to do.
SQLCMD mode is one of those things where I thought I’d use it a lot, but aside from deploying database projects, I don’t. Granted, this could be a failure of imagination on my part.