Hooking up a separate board to the main one with a cable

Sorry if this has been asked before and I’m just not using the right terminology. My intention is to have two boards be hooked together, either by a cable assembly and JST-type connectors or just with separate wires. I have 5V, GND, and DATA nets in the schematic and I have the pins on the microcontroller routed to a little 3-pin header. Then on the smaller board, with LEDs, there’s another connector that attaches the corresponding 5V, GND, DATA to the LEDs. In pcbnew KiCAD displays an airwire (rat nest?) going from the main board directly to the smaller board (attached image). Is there some way to tell KiCAD that these two connectors are actually connected?

That’s because they have the same signal name.
You should probably call the signals something different to distinguish which board they are on.

This might mean defining a unique ground or power net name.

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Pcbnew is telling you you don’t have a trace from one board to the other which is correct. A similar question was asked recently where the poster understood the air wire to mean a user provided connection.

As with that thread you won’t be able to submit the fab output as is. KiCad’s paradigm is one project one schematic one board.

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