In your case “Connect 9600” is configured to sent in the command mode. In some conditions if the data established very fast to the network UART shifts to the data mode and outgoing response “Connect 9600” from wireless CPU gets buffered. When you again shift UART to command mode, buffered response is sent to the terminal.
You will experience this behavior on Hyper Terminal but if you use Target Emulator, you will receive the “Connect 9600” in command window as soon as it is sent from wireless CPU.
To get the “Connect 9600” response in the Hyper Terminal in every case of Data call establishment you will required to configured in the data mode by using command “AT+WBHV=7,1”.