File sharing/AFP skips "connect as"
Could be a number of things. A few that come to mind:
If you're using Directory Services (e.g. Open Directory/Active Directory), the device could be authenticating using Single Sign-On (SSO). This would most likely be if you setup Server.app or if it is a device from your work/office.
Potentially, you could be connecting as Guest.
To authenticate as a different user: afp://<username>@server_address