other than the 2nd one being easier to type. And if OO encapsulation is important to you then the Connect or Bind should be being done in the Frame class's __init__ anyway.
[*] The unpythonic thing the page may be referring to is the very old way to do event bindings before we had Bind:
wx.EVT_MENU(frame, ID_About, frame.OnAbout)
This style still works but has been discouraged for several years.