You never actually connect to the server in this case. You stay connected to the load balancer the whole time, the load balancer makes a request to the server, which processes your request, and sends it back to the load balancer, which then proxies the data back to you in the response.
In this case the LB sits between you (the user) and the actual server running the application. In this case the LB knows how many connections each server has in the system because it is actually the one connected to the servers. If a server drops a connection, the LB knows because its the one that actually is losing connection. So it is fully aware of what all servers are doing in this scenario.
The only thing the load balancer might still need to do is ping servers for health checks to make sure they are online when the servers are not connected, this is also how it knows latency and other metrics.