That's true so long as everyone is dependent on each other. If, everyone is dependent on one country, that doesn't hold

China has a near monopoly on a lot of production. Countries that depend on them certainly won't go to war with them, but that doesn't hinder China from starting a war with those countries, and even gives them an advantage. And it doesn't stop dependent countries from warring with each other and that could even be beneficial to China.

N.B. I use China as an example only. Replace China with any country that might have a near monopoly on production of some kind. The point I'm trying to make isn't "ahhh China scary", it's that interconnectedness may only prevent war if it's actually interconnected, and not a monopoly.