I can't remember if it worked properly as far back as VS 2008, but from at least VS 2013 onwards, I havealways had to refresh the Data Connections in Server Explorer after opening Visual Studio. This is the first time I've gone looking for a reason and the only previous thread I could find on this topic was not very helpful.
My connection strings must be correct, as my first attempt at a refresh always turns the little red crosses into green triangles. The associated MS SQL database is hosted on a shared server.
Is there any way to avoid this minor irritation?