But when I want to compute connectivity for all brain regions (NxN) I get the memory error
Select the option "Use scouts" and "Apply scout function: before".
http://neuroimage.usc.edu/brainstorm/Tutorials/TimeFrequency#Scouts
this error is expected for large computation, but with SPM we did this analyzing and it took sometimes about 1 day or more.
Processing fMRI and EEG are two very different things. Expect much higher memory requirements with EEG.
How can I interpret this 3D figure?
What is your hypothesis?
Can I say these red regions are connected to each other during my 80 seconds recorded EEG or not?
Can I trust to this result because I've tried 3 times with 3 different ROI but in all of them the connected area was just near the ROIs, no other areas of the brain.
You can't expect the spatial precision of fMRI. Source maps estimated from EEG are very smooth, and you cannot expect spatial resolutions any better than 1-2cm. This means that the signals are always very similar in a neighborhood of a few centimeters around each source. You will not be able to separate what is similar because it's connected from what is similar just because it's nearby.
You should start probably with some background reading in EEG source modeling.
What you can do is to compare a condition with a baseline and see if there is a significant increase somewhere.