SHarePoint 2010 installation
Our Sharepoint farm has one WFE and one App server for SP2010 : Is the connector setup run only on the WFE or on both servers?
By "connector setup", I'm assuming that you are referring to the Coveo .NET Front-End that can be installed on a SharePoint server, which comes with a Coveo web service that can be called by the SharePoint connector running in the CES index.
Assuming that you need to install the Coveo .NET Front-End on your SharePoint server(s), you need to install it on the server that is handling your web traffic i.e. on the WFE server. In a farm with multiple WFE servers (NLB setup), it should typically be installed on all of them.
Note that, if your SharePoint webapp is not configured with claims authentication, the SharePoint v2 connector (contrary to SharePoint Legacy) may work without installing the Coveo .NET Front-End on the SharePoint server. If the webapp is configured with claims authentication, you do need to install at least the "SharePoint Web Service" feature (Installing the Coveo Web Service, Search Box, and Search Interface into SharePoint). If you want to enable the Coveo search UI integration in SharePoint, you also need to install the Coveo .NET Front-End on the SharePoint (WFE) server of course.
Hope this helps.