no idea. try inserting one if you have one.
again, does the CD work? is it covered by warranty given you just bought the car? do you remember if it was working when you first checked the car?
Connect+ systems have failed in the past (ie: become faulty). so perhaps it's stuffed, and you need a new headunit (a replacement probably isn't worth the expense unless you find a cheap secondhand one).
is the dealer an alfa dealer? can you have it checked out by an alfa dealer?