Did anyone else have a mysterious Magix installation of Magix Connect on their computer?
The install happened without being prompted.
I find it kind of invasive.
should I keep, or should I uninstall?

Various vendors/developers use Connect as the downloader/installer for their stuff.
 
Regarding your issue...
Connect does that unless you go into settings and uncheck the Install option.
Worse yet it remembers your previous install and if you forget to check it / reset it then it will automatically download and install your stuff in the same location - half the time I forget and then have to clean things up manually or rerun it.

burgerproduction
Did anyone else have a mysterious Magix installation of Magix Connect on their computer?
The install happened without being prompted.
I find it kind of invasive.
should I keep, or should I uninstall?

#MeToo - You have Magix products on your system.  Most of our software is always connected in some way.  I've had Samplitude go into demo mode when one of their servers went down.  I get pop ups to upgrade former Sony products.