I found the following in http://www.alfnie.com/software/conn :

Troubleshooting: Error Index exceeds matrix dimensions. Error in ==> conn_process ... CONN_x.Setup.rois.files{nsub}{nroi}{1}; end
 
This error indicates that some of the ROIs have not been properly defined for all subjects. The most common cause for this error is when somebody adds one ROI but only specifies the ROI file for the first subject. When specifying the ROI file(s) associated with a given ROI you can: a) (for subject-independent ROIs) select all of the subjects in the 'Subjects' list, and then click on an ROI file in the 'Select ROI definition files' tab to assign the same ROI file to all subjects; or b) (for subject-specific ROIs) select sequentially each subject in the 'subjects' list and a different ROI file in the 'Select ROI definition files' to assign a different ROI file for each subject.