Those countries are extremely small, even by European standards.
MrBenn's aim with the map was to, as accurately as possible, represent the political state of European continent than has ever be depicted before on a CC map.
In doing so there are several territories representing these very small countries as territories. The geographic position of these territories(vat-Vatican City and smr-San Marino) exist within Italy as independent states. Each one is separated by several hundred miles and do not share a border. So MrBenn has put the territories on the map as they exist.
So playing on the map you can attack to vat to Italy & smr to Italy and visa versa, but smr and vat do not connect because Italy is in between them. There isn't anything you missed, vat and smr are just very small territories within the much larger Italy territory. Just think of them as islands that only connect to Italy... these island just aren't on the water.