In fact I'm not sure if this is a bug or if it is perfectly normal to have this kind of results, are cluster-wise non-parametric corrections expected to work in CONN for a single subject (as group A) vs a controls group (group B)?

BTW, you probably know about it, but apparently a team solved the issue of non-parametric testing in fMRI and in particular the temporal autocorrelation issue by devising a "blockwise" permutation scheme: Adolf, D., Weston, S., Baecke, S., Luchtmann, M., Bernarding, J., & Kropf, S. (2014). Increasing the reliability of data analysis of functional magnetic resonance imaging by applying a new blockwise permutation method. Frontiers in neuroinformatics, 8 ; (implemented in SPM toolbox StabMultip, link provided in the article).