In the diagram, you state that both E_{1},E_{2} are closed. Do you know the definition of a closed subset? We define A\subseteq X to be closed if X\setminus A is open in X. Therefore if E = E_{1}\cup E_{2}, E_{1},E_{2} are closed, and E_{1}\cap E_{2} = \varnothing we can easily conclude that E \setminus E_{1} = E_{2} is open and E \setminus E_{2} = E_{1} is also open so they are both clopen. Keep in mind that your sets E, E_{1}, E_{2} are proper subsets of \mathbb{R}^{2} therefore when detecting whether E is connected or not using open sets you must do so with respect to the subspace topology on E. This answers your last point as well: every set is open in itself by definition of a topology.