Thanks, following  your advice I've added:

template:
  pod:
    metadata:
      annotations:
        ad.datadoghq.com/kafka-connect-container-name.logs: [{"type":"file", "source":"java","sourcecategory":"sourcecode", "service":"kafka-connect"}]

And it didn't work and I saw errors in the pods of the operator
following the error log 
at [Source: UNKNOWN; line: -1, column: -1] (through reference chain: io.fabric8.kubernetes.api.model.WatchEvent["object"]->io.strimzi.api.kafka.model.KafkaConnect["spec"]->io.strimzi.api.kafka.model.KafkaConnectSpec["template"]->io.strimzi.api.kafka.model.template.KafkaConnectTemplate["pod"]->io.strimzi.api.kafka.model.template.PodTemplate["metadata"]->io.strimzi.api.kafka.model.template.MetadataTemplate["annotations"]->java.util.LinkedHashMap["ad.datadoghq.com/kafka-connect-container-name.logs"])

I've guessed it's about the array, so wrapping the array as a quoted string fixed the issue 
Thanks for the help again, and I'll hope this would be useful for someone else