Having a single, multifunctional behemoth package is generally regarded as bad practice. Better to add five execute package tasks to your master package rather than copy everything in.
If these child packages are referencing common connections, those connections should be promoted to 'project' connections. Such connections can be shared by packages in the project.
Package level connections are specific to a package and have their own GUIDs, which are different, even if they are configured identically, which explains your error.