Welcome to the forum. If the tracks are not connected in the planar board because they are separated by slots, and you see some ratsnest lines across the slot, then they are not connected as far as KiCad is concerned. It has no knowledge of connectors, only tracks and vias. If the ratsnest lines are where you expect, you could ignore the error.
I did it like this once. Drilled the holes at the narrow neck so that the top section could break off and be soldered onto the bottom section at right angles. Mouse bites - I guess …
Here is a better view from the pcb file. I see that I didn’t use a hidden layer. The pad holes were 1.4mm. The project was a RGB garden lights on sprung stalks that reacted to wind & touch.
They should not be on the same nets . . . make them different nets and the problem goes away.
They are different physically different PCBs when finally assembled . . . why should they have any common nets ? the PCBs are not connected together by tracks but by a connector.