So recently I decided to jump in and see if I could help to resolve this issue for you guys. What I found out was, the TFS plugin seems to work as a piggy backing function. By that, I mean, if you have a folder that you have already connected to the Team Foundation Server via Visual Studio. If this is your first time connecting to source control in Visual Studio, essentially you need to connect to a server and then map the Source Control to a local directory. Once you have a mapped directory on your local machine, access this folder in Sublime Text 2 and the TFS plugin will connect to the settings already defined, allowing you to perform functions such as Check In, Check Out, etc.
While it is not as straightforward as a connection file would be (similar to SFTP maybe?), it does seem to get the functionality working.