Hi Kai @SirKaioMan ,
That’s a classic; those two Vertices belong to different Objects and that’s why you can’t connect them.
You Added all your Buttons and D-Pad and Screen, while in Object Mode (as you can see in your Outliner):

What you can do, is switch to Object Mode (from the state you are in in the Screenshot) and (having all the Objects Selected), combine them into one Object, with CTRL+J (to Join them). Maybe Deselect and Select your console, to make sure that is the Active Object, or simply re-name your Object afterwards to console.