The answer is obvious. To get this working, the following needs to be done:
1. Tick Auto color
2. Set Filter to Connector.Type
3. Set applies to <All>
4. Create a new value for each connector type to be shown in the legend as follows:
4.a The Value must contain the exact connector type - e.g., Dependency, ControlFlow and ObjectFlow
4.b Set the Line Color to the desire color
4.c Tick Apply Line
4.d Set the Line Width to the desire color
4.e Tick Apply Line Width
I wish there was a simple "How To" guide instead of having to use a combination of having to read unhelpful help pages and post to this forum.
Thank you to Takeshi, Geert and Paolo for their help in piecing this together.