You get city connections to capital through water, BUT

[Sarke1]

Unlike civ 5, the (mag)rail bonus is only obtained via building the rail connection.

Here is a city with a magrail connection:

Spoiler :

And here is a city 11 hexes from my capital via sea:

Spoiler :

It DID have a normal city connection:

Spoiler :

Is this a bug? Or just a change, and if so is it good? Magrails are useful to have anyway, and tbh it's not fair to equal transporting goods via sea with transporting through a magrail from a realism perspective. This makes a lot more sense than the civ 5 way, although it does kinda f*** over every city you have on another continent than the capital. Could be only cities not on the same continent get the bonus via sea but I doubt that.