Crimson fences and Warped fences connect with each other just fine, but they can't connect to overworld fences or nether brick fences.
They can connect to fence gates just fine.
As of 20w13a, this bug has been resolved.
Crimson Fence and Warped Fence do not connect to other fence types.
crimson/warped fence don't want to connect
Issue with nether related fence types.
Warped and Crimson fences do not connect to other types of fences
nether brick fence don't connect with others