The upgradeConnectionString is an optional parameter of the SqlDataProvider
value. It's used to allow the optional partioning of the database connection used for intall/upgrade's and that used for running the site.
Some setup do not allow sites to run with elevated privileges (e.g. dbo), as if the site suffers from a sql injection attack, this will allow the attacker the ability to create/modify database objects.
If a value is used upgradeConnectionString attribute then a site could choose to use a high privilege account such as dbo for installing/upgrades a DotNetNuke instance, but a lower privilege one (perhaps limited to only execute rights for stored procedures and with no permissions to read or write directly to tables or perfom DDL commands) for site usage.