Here is a reminder about the complete installation procedure.

On my second post, I commented about this sharing internet option, from the link you posted it above; not the Raspberry Pi Connect described by Bill.  

Right-click on the adapter that's connected to the Internet, and select properties.

 

3. Enable "Allow other network users to connect" on the "Sharing" tab.

 

4. Select the Ethernet port that is connected to the Raspberry Pi from the "Home networking connection" menu, and click Ok.

Here is a reminder about the complete installation procedure.

I tried using that sharing internet option on my windows 7 machine, which didn't work.
Short things short, it may need a reboot right after you select the adapter, but I didn't successed for my Pi to receive internet from my laptop, so I gave up at it.
I could connect through ssh at it, but

sudo apt update

didn't work.

On my Windows 7, I login as well with

user@hostname.local

through using ssh with a passphrase.
I installed the bonjour app for printers, and voilla.

I am planning to use a headless Linux on Raspberry Pi machine, so VNC is useless for me, as not having GUI on Pi.

I didn't heard of Pi Connect... is it a network protocol like Esp Now between Peers ?
... I watched Bill's video, and it's seems it's an easier way than port forwarding to connect to Pi from any PC.

Acordingly to the documentation, it doesn't let you choose another external web server, so I expect it will come with a subscription (paid) plan soon. So I keep my pessimistic point of view about it. 😐 

https://www.tomshardware.com/reviews/raspberry-pi-headless-setup-how-to,6028.html

Now I don't remember how to get the IP if I am flashing a new board like a Pi ZERO 2. Is that the old style empty ssh and wpa_supplicant trick?

And yes, setting up SSH in the imager and doing it all headless is indeed the way to go.

😎

Bill