This was tested using the latest build for .NET 3.5. I have not tested .NET 4.0 or any clients other than SftpClient.
using (SftpClient Client = new SftpClient(_ConnectionInfo))
{
Console.WriteLine(Client.IsConnected); //Prints False
Client.Connect();
Console.WriteLine(Client.IsConnected); //Prints True
Client.Disconnect();
Console.WriteLine(Client.IsConnected); //Prints True
}