Recently, while trying to configure Forms Services on SP2010 server, I got the following warning message.

“InfoPath Forms Services forms cannot be filled out in a Web browser because no State Service connection is configured.”

The message implies that you need to configure Session state service or Form View Service. Session state service uses SQL Server (default option), and FormView service uses asp.net ViewState. Since the default option is to use SQL Server, you need to provide connection string so that state service can use that as state store.