You have indeed provided a valid counterexample to the claim. A 2-path is 2-edge-colorable, and it has $\Delta = 2$. Thus, it is not true that any connected graph with an odd number of vertices and $\Delta = 2$ has chromatic index $\Delta+1$.
Indeed, it is known that for any bipartite graph $G$, it holds that $\chi'(G) = \Delta$. That is to say, it does not matter whether the number of vertices is odd or even; if the graph is bipartite, it is 2-edge-colorable.
If this is an exercise, perhaps it is talking about cycles with an odd number of vertices, or something else.