If I'm reading the rules correctly, a Magus casting Shape of the Woodland Prowler upon himself would need to penetrate in order to be able to damage an enemy with a bite or claw attack. Since the spell is Range Personal and Target Individual, the target is thus the magus himself. Can a magus use arcane connections to himself to boost the penetration in order to better damage an enemy? Say, as he's casting it, pluck a lock of hair from his head. There's an arcane connection. The mage knows his birth date, astrological sign, and nickname, so there are some sympathetic connections. Would that help him attack an enemy due to higher penetration?
The question does have implications for all spells that target the self, but it seems the most relevant are for MuCo spells.
Interesting question, and with much wider applicability -- e.g. when casting magic affecting weapons (improvised like a rock or well-honed like a magic sword) that a magus can use to pounce upon an enemy. In fact, it's more general than that. When a spell can interact with many different creatures/objects/etc., possibly different from its primary Target, do means that increase the penetration against that Target increase it against all?
I answered my own question, I think. I considered it from a different perspective.
Arcane connections only help against penetration a specific victim, not necessarily the Target of the spell. For example, creating fire is CrIg. The Target is the fire. Yet an Arcane connection to an enemy will help the fire spell penetrate the enemy's MR.
That, and my own question seemed far too twinkish to me. So having an Arcane Connection to an enemy will help a personal-range shapeshift spell claw the enemy.
An Arcane Connection to the magus will help him penetrate his own Parma in order to cause the shapeshift to happen. Which is only relevant if it is a Touch (or greater) range effect that he is using, and for some reason he doesn't want to lower his Parma. Personal range effects don't need to Penetrate, and a magus can lower his Magic Resistance by concentrating. Of course, there are times when it is relevant, for example, a magus may only happen to know a Touch range Formulaic shape-shifting spell, may have insufficient Art Scores to Spontaneously cast a Personal range equivalent, and may be reluctant to lower his Parma in the midst of a combat.
If a shape-shifted magus wants to hit a person with the talons he acquires due to the shape-shift effect, then he needs to Penetrate the Magic Resistance of the person getting mauled, for which purpose Arcane Connections to that person are needed for a Penetration bonus.
Exactly how that works, for example, how often do you recalculate the Penetration against different targets, what happens when bonuses to Penetration (like the ambient aura, or picking up an Arcane Connection) change while an effect is continuous, is all a bit murky in the rules. My interpretation is that you recalculate the Penetration whenever you need to know whether an effect penetrates a Magic Resistance, using the prevailing conditions and Scores that are relevant at the time and relevant to the character with the Magic Resistance, but without repeating the rolls of any dice.