Basically the later Seasons do not.
And Legion connects to X-Men barely, mostly doing their own thing like, although we get a wink and a nod to Patrick Stewart's incarnation of Professor Charles Xavier once in Season 1, 2 and 3 create their own incarnation better suited to their story, even if tangentially connected to the Fox incarnation.
The nature of the main character changing reality just by existing allows them to have their cake and eat it in that particular way.
But yes so far, Noah Hawley takes the opposite approach of taking every opportunity to remind you something's part of a larger established franchise, with the rarest exception.