They are completely unrelated to each other.

Starting a combo is related to the combo stat, having a critical is related to the crit stat, you can have neither, both or either without the other.

Do note that some ninjas ALWAYS start a combo, like sage naruto, for whom the combo stat is therefore rather lackluster (it helps defensively, that is to say prevent opponent from starting combo on him, but that still only make it half as useful as on ninjas like mei)