Hi,
sorry for late reply, it's a weekend for us

Social connect overrules the function 'New User Account Activation by '. Is there a setting to tell Social Connect, that new user, regardless if they use the Social Connect login or not, have to be confirmed by the Administrator?

for now noy, sorry. We will add this at our TODO list.

Or, is there a way to create a menu that guides the new user to the edit user page?

Yes, in Easy Profile option there is a parameter to redirect user on first login, you can redirect user on Joomla Article page for example.
There is another option to force compilation of Required fields, so when user register an account with Social Netwrok, he will be redirect on edit profile page and obliged to fill all required fields.