Okay, here's the connection - from a consumer protection standpoint, each state's bar serves the function of protecting the citizenry from incompetent and unscrupulous lawyers. Each state sets its own rules and if you want to practice law there, you need to live by those rules. It also helps that you know a thing or two about the state's laws that you will be 'lawyering' for people in that state. Therefore, each state's bar exam will have questions and tasks that are specific to that state's law.