Does the feedback mechanism on Microsoft Connect really work? By "work" I mean is customer feedback changing the product? From my perspective it's too early to make the call. In SQL2K5 SP2 we tried to address the top issues submitted through connect (based on the voting mechanism). I haven't run the analysis to see how successful we were - I should do that. Now we're in the middle of the dev cycle for SQL2K8 and I can tell you that feedback coming through Connect is playing a role in directing our work. This isn't to say that every item entered in Connect will be addressed, but it does mean your vote does count. After we ship SQL2K8 I'll go back and analyze the data to determine what percentage of all "bugs" fixed came through Connect.
Until then, keep posting your issues and voting active items.