Different way of schematic connection

Does the thick black wire I marked with a red arrow connect all connected pins together?
what is the name of this construction?

This is called a Bus. It is there to reduce clutter. The only pins connected are those with the same labels (names).

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Buses in KiCad (at least 5.1.8) are only graphic lines. They don’t connect anything themselves. Wires are connected together by having the same label.
Buses (if used consistently) helps you to find all wires ended with labels to be sure that there are no one somewhere that you just missed.
At your schematic there is one bus. You can group wires in several buses. But you have to remember that if you connect one wire end to one bus and its second end to another bus KiCad will not notice it as an error.

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This used to be true, but there are significant changes for busess on the roadmap. In KiCad V5.1 a bus can already be fed into a hierarchical sheet. The documentation for Eeschema V5.1 already mentions some of these (not implemented yet) changes.

But most of it is indeed visual, and connections are determined by the net labels.

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To me, “bus” also meant a group of signal with common properties which do logically perform common functions. Typical bus could be the address bus (holding multiple address lines, and maybe some control lines like Data/Address latch).

Here it’s just a bunch of non-related nets packed together into a thick line, that does not carry any useful information to me. Proper use of labels does the same job. Here all I can see is, that “Everything is connected to everything”. E.g. what’s the connection of SIM card interface to UART isolator?

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Buses could always be fed into sheets. However even with these the bus line itself is not what makes the connection. It is all handled via the special label name syntax.

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For me they carry the information I have written - you can follow the bus to find the label you are looking for. When I see schematic with wires labeled and ended anywhere I don’t know where these wires go. From my point of view such schematic is only readable for its author who knows what was the idea behind each connection so he knows where to find the second end of each wire.

I don’t mean bus in general.
I mean bus in this example, which connects everything with everything. How this could help in finding the nets/labels? I don’t know.

In this example you are right it helps not a lot, but if you can believe there are no labeled wire ends anywhere else it helps a little.
In most of my schematics i have one bus but made as a single (not straight) line. At the left I have microcontroller with all its control lines going to bus and then (to the right I have several modules driven by some lines from the bus. This helps during PCB design when I am reconnecting wires to make it possible to route all signals (except GND) at top layer. I used second bus only when I had lines I couldn’t reconnect - it were 2 USB wires as microcontroller don’t allow to switch them somewhere else.

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