Correct, the ability to quickly prototype something in Webflow makes it easy to skip the XD step altogether. That said (like @Stan mentioned), you’ll probably benefit in using a software like XD (or Figma) that you can follow along with when building your design in Webflow.
In terms of “connection” between the two, it basically just serves as a guide that you follow along with—there isn’t any sort of integration that pulls designs from one to the other.