The options dialog lets you adjust line behavior. It's located on the File tab under Options.
When Allow Lines to Link is checked, you can connect lines to shapes and connect multiple lines together that will move as one unit, but are still separate lines. When moving one line toward another to link, you will see this large black dot to indicate a linking has occurred.
When Allow Lines to Join is checked, you can anchor multiple lines together that will move as one unit because they have become one continuous line. When moving one line toward another to join, you will see this large outlined circle to indicate a joining has occurred.