I think there is a difference between:

• The tool that helps create connection strings (the one that pops up when you double click on the .UDL file). This tool is COM-based and resides in Ole32.dll and is still working.
• The concept of a connection strings that has never changed. (it's so simple: a list of key/value pair!)

Today's (ie: .NET?) connection strings are not less universal than OleDb connection strings. They are always specific for a given provider. The key/value pairs may not be the same, but the concept is always there.

The UDL tool works using COM objects and can still be used. For example, one could write an extension to the UDL tool for Entity Framework connection strings. Here is a link on the official reference: Provider Extensible Data Link User Interface API

.UDL files are still usable in .NET (with P/Invoke) using IDBPromptInitialize and IDataInitialize OleDb's interfaces, although I agree, it does not seem so natural these days :)