Yes, the conjunction "و" (most commonly "and") is always connected to the following word.

I hear that too, but I think it is just bad audio clipping, the same problem that screws up most of the recordings of " وَ" The " ا" sound is clipped off, making it sound like a glottal stop ending. Also, unless " ا" changes pronunciation depending on context, this is more like "Rooseh" than "Rosa". They are trying to find simple names English speakers would know as examples, but they don't totally match. Even more confusing is that Rosa is more a Latina name than an English one and would be more like "روـسـا" (English "S" sound, not "z" sound)