When Kafka Connect ingests data from a source system into Kafka it writes it to a topic. If you have set auto.create.topics.enable = true on your broker then the topic will be created when written to. If auto.create.topics.enable = false (as it is on Confluent Cloud and many self-managed environments, for good reasons) then you can tell Kafka Connect to create those topics first. This was added in Apache Kafka 2.6 (Confluent Platform 6.0) - prior to that you had to manually create the topics yourself otherwise the connector would fail.
Read more: Creating topics with Kafka Connect