What connects them?
Dagda lies in the same wider world as Fódlan. The new game follows Cai, Dietrich, Theodora and Leda, with Eshmel linked to their journey. The world connection does not make this story a retelling of Three Houses.
Should you play Three Houses first?
The new paths introduce their own protagonists and Dagdan conflict, so a new player can begin with the route overview. Prior knowledge may help you recognize references, but a precise timeline placement should not be inferred without explicit story evidence.