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I would say of course they're connected. Ofelia is given tasks to perform and I assume they are all related. She faces the monsters that prevent her from returning to her father (or something like that), and her human world life mirrors that world with physical and institutional representations of the same monsters.
Besides, the fact that such a world even exists means magic is afoot. Any miraculous occurrence is probably part of the magic.
Ofelia fights the toad ok, she has to get a key from the toad's stomach. She needs the key from the toad's stomach to get the knife from the Pale Man's lair
The Pale Man actually appears in the toad's mouth. His fireplace isn't just the mouth of the toad, its the entire toad.
First the toad was the key, then the pale man was the key, and finally the knife was the key to the blood sacrifice. A trinity of quests ending in our intrepid explorers death.