Yes, if you join two cylinders perpendicular to each other and you do not remove any overlapping internal faces, then you will get an error.
The error for a 'T' junction in the surfaces will only show as you try to Solve the analysis, when you will see the 'ILLEGAL CONNECTIVITY' error from the solver.
However, you may also see this error message if there is a problem in the mesh, where two mesh nodes are very close together. This may occur when you import an inexact geometry file, like an IGES file.
One other point to note: if the separation between the surfaces is 3 mm, then you should ensure that the Connection Tolerance in the Mesh settings is less than 3 mm, otherwise the mesher will automatically connect the inner and outer surfaces together. This could also cause the 'ILLEGAL CONNECTIVITY' error.