Should the GNDA be connected to the Ground of the board on which the FPGA is placed?
GNDA is a separate Ground pin; the portion of the die that is allocated to RocketIO contains its own isolated power and ground structure.
This pin is isolated because it is part of the vulnerable PLL supply. When the part was designed, Xilinx opted to use separate pins for GNDA because it was not clear whether it would be necessary to put a power-filtering network on this node as well. In fact, it is not necessary, so users may simply connect it to the GND plane of the PCB like any other Ground pin. Keeping GNDA isolated from other GNDs inside the package (out to the pins) further insulates these pins from FPGA noise, so it is not detrimental that the pins are separated.