You aren't allowed to build roads until you have two cities. As soon as you have two cities you're given the option of building to every city on the map (or continent don't know which yet). I don't know if this is a bug or intended but I don't like it.
My proposal is:
- You should only be able to build roads to your own cities or civilizations you have some sort of trade pact with.
- You should only be able to build roads to friendly foreign cities that are revealed on the map.
I hope the reasons why are self-evident.