Do I have to finish all the training to connect with a friend

Not sure what you mean by "connect" - if you merely wish to talk with him, channel 1 is available to you as you complete the training missions. There are 5, then a simple low-risk test, and afterwards you are free to go about your business. However, I would reccomend your freind find you in your nation's capitol (as opposed to you worrying about finding him in less safe areas), at least until you have reached combat three.

Also, so you can keep tabs with him, you may wish to use the /buddy command.

I think if you both started at the same time for the same nation you'd be in the training area together. Not 100% sure.

Actually, you can do /j 100 from the training sector now. Not sure when they changed this, but I have been doing it.

IIRC, you cannot do it with your first charecter, Batty.