I think it is supposed to do what you want, but does not work.
Looking at the code, the menu option creates a form which should allow you to change the position of the connections on the favorites toolbar. But it never actually
SHOWS the form and so you can't interact with it.
You can achieve the same results by editing the terminals.config directly using something like notepad. You should see a section (probably near the bottom) called <favoritesButtonsList> which lists the connections which
appear in the favorites toolbar and the order they appear in this list is the order they appear in the toolbar. So it is quite easy to cut and paste to move them around.
Before editing terminals.config it is best to make sure that terminals is not running and also that you have a backup the config file.