The message
Represents text as a series of Unicode characters
is not a mistake, is the description of string.
The code actually has an error which is to use the \ as literal, this character needs to be escaped.
There are two options for this:
Use \ to escape that character only.
Ex.: "Teste\\Teste" amounts to Teste\Teste.
new SqlConnection("Data Source=(localdb)\\MSSQLLocalDB;OutrosParametros");
Use @ at the beginning of string. This will cause the text to be represented that way. In other words, the string turned into a string literal (or Verbatim string).
Ex.: @"Teste\nTeste" amounts to Teste\nTeste.
new SqlConnection(@"Data Source=(localdb)\MSSQLLocalDB;OutrosParametros");