But the server application at the moment starts a thread every connection received.
That is ok, but each client needs to connect only one time.

Do you think that there would be some advantages in calling connectToHost only one time?
Yes.
See what your problem description was:
If I call one command every much time, there is no problem... But if I call two commands very near in time, the signal connected() will not be emitted before the first command is really sent....
So I think your problem and connecting has very much to do with each other.