That is where you should start until you get a couple deals under your belt.

It gets pretty darn cold here with long winters, and my assumption is that it might get slightly colder in Bozeman but certainly not on an order of magnitude or in a different stratosphere.A few things that can require adding some size to your unit:if your blower has to push the air to 2 (or more) separate levels that can stress the capacity of the unit. 

We have one season under our belts with airbnb and VRBO.

As you know I am an wholesaler with a little bit of experience under his belt.

These properties are all over the rust belt/midwest, as specially in tertiary markets.  

Feel free to reach out if you think you'd want to go that route, especially if you want a near 0% risk by originating your own loans to very well seasoned investors with over 150 to 200 deals a YEAR under their belts for over 10 years!

Does it make sense to invest in the rural Midwest for an inexpensive learning experience, with the goal to move to a larger market after getting a few rentals under my belt, or should I just save and make my first move in a larger market?

I have good credit, a little cash in the bank, but no deals under the belt and I am young (if thats even considered a risk factor, I see a lot of successful RE investors in their 20's.)

Although crime on a whole is trending down in Connecticut for your first investment I would stay away from the top 3, Hartford, Waterbury, New Haven, and focus on the lower crime rate towns until you get some Connecticut property management experience under your belt. 

Some of the popular markets have either declining or stagnant populations and jobs with old rust belt industries and infrastructure.