Closed
Note that $A=\arg^{-1}([0,\frac{\pi}{4}])\cup\{0\}$ which is closed as a union of two closed sets, since $[0,\frac{\pi}{4}]$ is closed and $\arg$ is continuous.
This post shows some proof of arg(z) is continuous.
Note : these proofs show continuity for a cut on the ray $\{x\ge0,y=0\}$ and $\arg(z)\in[0,2\pi[$, but you can place the cut elsewhere for instance on the ray $\{x\le 0,y=0\}$ and have $\arg(z)\in[-\pi,\pi[$ so the cut is not bothering us when considering $[0,\frac{\pi}{4}]$.
Connected
Here the simplest method to show it is connected it to show that it is convex. For any two points in this infinite pie then the segment is also contained in the pie.
Let have $z_1=x_1+i.y_1$ and $z_2=x_2+i.y_2$ and $\lambda\in[0,1]$
Now what can we say about $z=x+i.y=\lambda.z_1+(1-\lambda).z_2$ ?
$\begin{cases}
z_1\in A\Rightarrow \quad x_1\ge 0\qquad 0\le y_1\le x_1 \\
z_2\in A\Rightarrow \quad x_2\ge 0\qquad 0\le y_2\le x_2
\end{cases}$
We conclude immediately
$\begin{cases}
x=\lambda.x_1+(1-\lambda).x_2\ge 0 \\
y=\lambda.y_1+(1-\lambda).y_2\ge 0 \\
y=\lambda.y_1+(1-\lambda).y_2\le\lambda.x_1+(1-\lambda).x_2=x
\end{cases}$
So $z\in A$.