Welcome in the forum, heimo.
There is nothing wrong at all, keep calm ;-)
The "Hardware Connection" refers to PSoC internal hardware. This must be activated when you have a signal that you want to connect your pin to. On the other hand you have the choice to set a pin's state using the API PinName_Write(). This only works with disabled "Hardware Connection".
As per the datasheet
"HW Connection – This parameter determines whether the digital input terminal for an input pin is displayed in the schematic. If displayed, the pin provides a digital signal to the digital system interconnect (DSI) for use with hardware components. Independent of this selection, all pins can always be read by the CPU through registers or APIs. If this option is not selected, the terminal is not displayed and it is controlled only by software APIs."
In simple words you can choose whether to tick the option based on whether you want to control the pin only using your software API's or you want hardware control(PSoC internal hardware).
"using your software API's or you want hardware control also"
Not "also", you cannot control a pin's output per software API when it is connected to a PSoC internal signal.
Thanks for the correction :)