Stuff automated workers do does not allways make sense...
Anyway - even if the cities are already connected to trade system (can be via River, Coast or somethin) a direct road route might be useful for moving troops and such...
Later in the game i usually end up having all my tiles roaded for easy access.
Just make sure your workers are not roading needlesly, while there is other stuff to do - improvements should allways be prioritized over roads.