I'm not sure what you were expecting to happen, but if you have a clear connection the pressure will equilibrate.
That is to say the some CO2 will move into the mini keg until the whole system is at the same pressure.
There is a law that tells you exactly what that pressure will be.
If we assume the temperature doesn't change then its just P1V1=P2V2
If your fermenter had a total volume of say 35L and was at 200kPa (2 bar), connect up a 4L mini keg and the total volume becomes 39L, apply the equation and the pressure becomes: -
35*200=39*P2, (35*200)/39=179.5kPa.
That is sort of assuming the 4L keg is a vacuum, it wont be so there probably wont be that much CO2 move over, unless you purge the mini keg with CO2, it will be a mixture of Air and CO2 and you want to be a bit cautious using air around brewing, there are times when Oxygen is good but mostly not.
Mind you 4L of CO2 at 179.5Pa is stuff all. I cant see it being useful for anything.
Mark