I am in New York and I heard rumor per se that it is easy to take PE exam in connecticut. That puts me question, does it matter which state we take PE exam? Off course I would take it in any state that offers easier exam.

depends if your work needs to have a stamp from the state you plan on working in. Not all states are automatic acceptance of other states licenses. Different states have different experience requirements.

the test is exactly the same, it is the experience/referrences required that differs.