Where do I connect a road to?

I'm trying to plan out my new fortress before I start construction, but I'm not sure where the road must go. I'd like to ensure that I don't need to construct a road right across the entire map. Is there any particular edge that wagons always arrive from? Can they come from any edge? Or is it simply the case that wherever I build it is where they will come from?

You don't need to have a road connected for wagons to arrive, but if you do, wagons will use the road, and arrive on the edge of the map wherever the road connects. This can make it easier to defend incoming caravans against sieges and ambushes.

You actually don't need roads to support Trade Wagons, as long as they have a 3x3 path to your depot, you'll be fine (you can even toggle the wagon pathing display, if you need to).

You may eventually need to build a road if you want to make your fortress the eventual mountainhome, but again, there's no specifications other than, "have road connected to map edge", so there is no preferred edge there either.