Comment 5 for bug 875017

Joshua: no, you completely misunderstood the working of gettext. Identical strings are represented only once in po files, and the comment line is only informational, the mo files do not contain them.

On the other hand, I think I have found the problem. This untranslated string does not come from the nm-applet connection wizard, but from network-manager itself:
http://bazaar.launchpad.net/~ubuntu-branches/ubuntu/oneiric/network-manager/oneiric/view/head:/src/settings/nm-settings-utils.c

I have only guesses on why does it not appear translated. i18n support seems to be all good in NM, but obviously it isn't.