Answer:
A fillet weld is only used to determine weld stresses due to shear force Vy, Vz (or Vu, Vv) as well as torsional moment Mxp, Mxs. The design of fillet welds with SHAPE‑THIN is described using the link "Design of Fillet Welds".
No connection between the elements is created with a fillet weld. A connection can only be modeled with elements. You can find information about modeling connections by clicking the link "Connecting Elements in SHAPE‑THIN".