Yes, it's worth spending the time to build your network when you're employed.
But when unemployed, trying to build a network, including on LinkedIn, usually takes too long to turn nascent connections into even one that gets you an on-target job.
And that assumes the job seeker has the far-from-trivial ability to convert even one percent of such people into a such a powerful and motivated advocate.
Job seekers start out with a full tank of gas, a certain amount of energy they'll put into a job search before they give up. In attempting to convert strangers into even one powerful, motivated advocate, most job seekers will, before landing a good job, run out of gas.
The way for unemployed job seekers to not run out of gas is to do a great job of pitching their existing network and to write top-of-the-heap applications for on-target advertised jobs.