It's great to build your network. If there was an issue with the candidate's talent level, remember that by connecting you can help others find opportunity, allowing them to grow and increase that level. As that talent is honed you may be able to work with the candidate in the future and they will remember the opportunity you provided by connecting. And that candidate, while maybe not well suited to your company, may be connected to others who are.
Obviously, if you start getting a "hey, just checking to see if you're adding more talent, etc" message every week or two then it might not be a great fit. Otherwise, connecting with past candidates to build a network of potential future talent is something I'd seriously consider.
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