Yeah that's a shame. Especially the fact that Labrynth was her first lead role. And Jim Henson giving her that operationally. I would take that personally too myself. lol For example, Jim have Frank Oz his first directing operationally with co-directing The Dark Crystal which lead to where Frank is today (though I'm not sure if he's still directing movies or if he's just retired all together now except cameo rules on Sesame Street) but anyway whenever Frank wins an award or is interviewed, 90% of the time, he would mention how Jim got him where he was today.
There is a difference between Oz and Connelly, though. Oz had worked with Jim Henson for many years and is/was one of the few Muppet performers who even the general public would know the name of (I think this was even the case before he started his directing career), while Connelly only worked with Henson once (in addition to appearing in a Muppet Magazine to promote the film), albeit it's her first film role.
And I'm pretty sure Oz isn't retired from directing, though it seems it's been forever since he last directed a film (I think I've heard that he's directed a play recently). Though it seems he's only directed a handful of movies since his last Muppet performance.
Years ago I think I brought this up and somebody mentioned that production on one film could take a number of years (well, pre-production if it's live-action... I couldn't imagine a live-action film actually taking more than a year to shoot and can't imagine one being released years after filming ended), but then I saw an interview with Frank Oz where he basically said that he didn't need the money bad enough to direct a film with a terrible script (nevermind the fact that he could help make the film better by the time it comes out... Thinking back on this, maybe it's not surprising he judged The Muppets script by seeing one draft). And then I saw an interview where he mentioned that he has four daughters and had trouble balancing out being a performer, director, and spending time with his family (the same basic reason Brian Meehl swithced from performing to writing), and pointed out that he didn't really aspire to be a puppeteer in the first place. So I guess if he's not involved with a movie he's spending more time with his family.
It's interesting how Oz will often discuss his Muppet career along with his directing career, and apparently many reviews of his films mention his Muppet past, but the descriptions on the video boxes never point out that the director had performed with the Muppets.