I know VS 2010 Pro/Premium/Ultimate include TFS connectivity, does VS 2010 Express?
No it doesn't.
See this SO question (What is “missing” in the Visual Studio Express Editions?) - one of the bullet points is no Team Explorer support
, meaning to TFS integration.
On this Microsoft page for VS 2010, you can see the the Pro edition with MSDN essentials subscription has none of the TFS features out of the box, suggesting that this is also the case for the express SKUs.