You should be able to add as many bends as you want to the standard Visio dynamic connector -- but it depends how it's glued to the shapes. If it's glued to the shape as a whole (see upper part of image 1; then when you grab and drag the segment resizing handle, the line detaches (see upper half of image 2),
However, if glued to a connection point and not the whole shape, dragging a segment handle creates a bend.
BTW, to tell the difference see the third and fourth images below.
Re UI design -- yes, Visio 2010 (available today for corporate users) has enhanced wireframe capabilities and Vista/Win 7 style controls.