just do what I do. Ride the train with sju85 and nothing ever goes wrong. The train even waits for us to get pizzaYes there is a way but you have to pay to get into NYCT’s fare zone to do it. Due to the numerous subway tunnels and passageways in the area, to do a direct connection would have required a deep and circuitous route which would not have been cost effective for whomever paid for it and would have defeated the purpose of a more direct route.
The only reason MSG has such connections (you still have to go outside) is due it being built directly over part of the original Pennsylvania Station.