Your surprise stems from the fact that you haven't thought it through fully. The way to think about it is to bring the possibility into focus, take it seriously for the sake of argument, then see what follows.
Okay, say Saddam is "connected" to 9/11. What exactly does "connected" mean? Does it seem likely that Saddam Hussein, supposedly a "survivor," a "pragmatist," and certainly a sitting duck for US retaliation, would simply allow himself to be loosely "connected" with an ultra-sophisticated plot to destroy the WTC, the Capitol and the White House? And if his "connection" is not so "loose," if in fact he was the actual author and mastermind behind this and other acts of revenge against the United States, how could he do that without facing certain death at the hands of the US military? And, why hasn't the US retaliated against him?
If you've been reading the newspapers and watching TV for the last month, you might be able to suggest one method by which Saddam could deter inevitable retaliation with the technical capabilities at his disposal, and thus hope to carry out such a veiled attack with some degree of impunity: his weapons of mass destruction. His existing WMD capability consists, so far as we know, of the following items: anthrax, VX gas, and botulinum toxin. And if you think back to last year, to the events which followed 9/11, you might remember that some still-unidentified person or persons sent the US political leadership a letter containing a sample of the most highly-weaponized, aerosolizable anthrax powder ever produced, accompanied by a warning: "THIS IS NEXT WE HAVE THIS ANTHRAX YOU CAN NOT STOP US."
And once you have followed all those connections and reconceptualized the events of 9/11 et seq on that basis, you will find there is no big mystery at all to why (a) removing Saddam Hussein is Bush's top post-9/11 priority, (b) Bush is taking his own sweet time about confronting Saddam, despite the clear and present danger he supposedly represents, (c) Bush is playing peek-a-boo with the evidence connecting Saddam to 9/11, (d) the feds are putting on a piss-poor effort to investigate the "puzzle" of the anthrax killings, (e) tthe US just ordered 25 million doses of anthrax vaccine to treat the civilian population after an attack.