This actually has nothing to do with config transforms. I just posted a very detailed blog at http://sedodream.com/2010/11/11/ASPNETWebApplicationPublishPackageTokenizingParameters.aspx. But some info here for you.
In the Web Publishing Pipeline (WPP) we handle connection strings as special artifacts. We will automatically create parameters for you for all connection strings. This is because in many cases when you deploy your app you want to change the connection strings. We do not automatically create parameters for any appSettting value. Now back to your question why do we tokenize the connection strings? We are really doing this to make sure that you do not miss setting the value and then accidentally have your application updating the wrong DB. We do help you by creating those parameters for you. Also you can disable this behavior if you want. You can set the MSBuild property AutoParameterizationWebConfigConnectionStrings to false.