No, you don't save any energy by connecting them.
The wind friction is lowered in high-speed trains by making a flush body without interruption - and not by the connection itself. But this is besides the point.
Each car has its engines and brakes, there is no significant push/pull force on the connections and there is no bigger engine somewhere.
In the context of the current conversation the autonomous cars are electric and each car has its engines.
Each car in a normal cargo train doesn't have its own engine. They are pulled by locomotives. This is more efficient than putting an engine in every car.
Passenger trains typically do have engines in every car, but we're not talking about passenger train here.