Here is a proof that $C_2(X)$ is connected when $X$ is a connected and locally connected Hausdorff space. I would guess that it generalizes to the case of $C_n$, but I didn't think through the combinatorics in the general case.
To show that $C_2(X)$ is connected, it evidently suffices to show that $(x_1,x_2)$ and $(x_1',x_2)$ are in the same connected component, for any $x_1,x_1',x_2 \in X$ such that $x_1,x_1' \neq x_2$.
Suppose first that $x_1,x_1'$ lie in the same connected component of $X \setminus \{x_2\}$, say $A$. Then the map $A \to C_2(X)$ defined by $a \mapsto (a,x_2)$ contains both $(x_1,x_2)$ and $(x_1',x_2)$ in its image, and we are done.
Suppose instead that $x_1,x_1'$ do not lie in the same connected component of $X \setminus \{x_2\}$. Because $X,$ and so $X\setminus \{x_2\}$, is locally connected, the connected components of $X\setminus \{x_2\}$ are open as well as closed,
and so if we let $A$ denote the connected component of $X\setminus \{x_2\}$ containing $x_1$, then $\overline{A}$ (the closure of $A$ in $X$) contains $x_2$ (because $X$ is connected), but does not contains $x_1'$. Similarly, if we let $A'$ denote the connected component of $X\setminus \{x_1\}$ containing $x_1'$, then $\overline{A}'$ contains $x_2$, but not $x_1$.
Then $a \mapsto (a,x_1')$ is a continuous map $\overline{A} \to C_2(X)$, whose image
contains $(x_2,x_1') = (x_1',x_2)$ and $(x_1,x_1')$. Similary $a' \mapsto (x_1,a')$ is a continuous map $\overline{A}' \to C_2(X)$ whose image contains $(x_1,x_2)$ and $(x_1,x_1')$. Thus again we see that $(x_1,x_2)$ and $(x_1',x_2)$ lie in the same connected component of $C_2(X)$.
Probably locally connected is an unnecessarily strong assumption; what is being used is that the closure in $X$ of any connected component of $X\setminus \{x_2\}$ contains $x_2$. My general topology is too rusty to be sure how generally this property holds.
Also, I guess I'm not using the full strength of the Hausdorff assumption; I'm just using the fact that points of $X$ are closed (so that $X\setminus \{x_2\}$ is open in $X$, and thus inherits the property of being locally connected).
Added in response to Niels Diepeveen's comments below:
Suppose that $X$ is compact, Hausdorff and connected.
If $C$ is a component of $X \setminus \{x_2\}$,
and one takes $Y = X \setminus \{x_2\}$ and $Z = C \cup \{x_2\}$ in the main result of this answer of Niels Diepeveen, then one finds that $C$ is not a component of $Z$, and hence that the closure of $C$ in $X$ contains $x_2$. The above argument goes through, and so we conclude that $C_2(X)$ is connected.