Correct statements:
You can only create one initial state, yet it is possible to have more than one Final State. You can only create one link from Start, so it is impossible to connect more than one initial state to it. However, you can connect a State activity to the different Final States depending on the required conditions.
Every State Machine must have a Final State to avoid an infinite loop. If you interconnect States between each other without a Final State, then the process will enter an infinite loop, which would result in incorrect processing.
Every State activity should have at least 1 transition. If you do not create a transition, a red symbol of an error will appear in the corner of the State.

Incorrect statement:
You can directly connect Start and Final State. That is an incorrect statement, as Final State cannot be an initial state. UiPath Studio does not allow to create a link directly from Start to Final State.

NMG - shows that the rule is part of the Naming Rules category. Rules part of Project Anatomy Rules category have the ANA abbreviation, those part of Design Best Practices the DBP, and so on.
UiPath Documentation
Exam Topic: Describe the functionality of the Workflow Analyzer and how to create new rules