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