I understand that PKCS#11 is std that defines cryptoki API and KMIP is a protocol that defines message format, but how they are connected or are they even interconnected? How they both hold their individual significance in cryptography?
PKCS#11 can be considered a protocol of a kind too, it's used to communicate with the hardware devices (to be precise, with the driver modules of those devices). However, it's not suitable for network communications. KMIP is the protocol to communicate with remote key storages and similar services and use the remotely stored keys. This is similar to what PKCS#11 offers locally.
In theory, the protocols partially interlap and are to certain extent interchangeable - Oracle has the PKCS#11 driver/gateway, which talks to the remote KMIP server, and the opposite should also be possible. But, of course, each has its own strengths and weaknesses. Interestingly, both KMIP and PKCS#11 standards are developed by the same people in OASIS.
There's also a paragraph in Wikipedia that answers your question.