It is...
...not possible. Via mixed integer linear programming, I have concluded that the minimum number of 2x2 squares is 2, as in the example.
If you relax the problem to consider only parity of the digits (4 even and 5 odd per row, column, or 3x3 box),...
...the minimum number of 2x2 squares is still 2.
If you omit the 3x3 box constraints, it is...
...possible:
By request, here are the details about how I enforced connectivity of the subgraph induced by the even nodes. I often use dynamically generated "node separator" constraints, but for this problem a compact, flow-based formulation performed much better. Construct an undirected graph with node set $N$ and edge set $E$. Here, $|N|=81$ and $|E|=144$. Now let arc set $A=E \cup \{(j,i):(i,j)\in E\}$, so $|A|=288$. The idea is to select one even node as the root and send one unit of flow from the root to each of the other even nodes. For $i\in N$, let binary decision variable $e_i$ indicate whether node $i$ is an even node, and let binary decision variable $r_i$ indicate whether node $i$ is the root node. For $(i,j)\in A$, define nonnegative flow variable $f_{ij}$. The constraints are:
\begin{align}
\sum_{i \in N} r_i &= 1 \\
r_i &\le e_i &&\text{for $i \in N$} \\
\sum_{(i,j) \in A} f_{ij} - \sum_{(j,i) \in A} f_{ji}
&= 4\cdot9\cdot r_i - e_i &&\text{for $i \in N$} \\
f_{ij} &\le (4\cdot 9-1) e_k && \text{for $(i,j) \in A$ and $k \in \{i,j\}$} \\
e_i &\in \{0,1\} &&\text{for $i\in N$} \\
r_i &\in \{0,1\} &&\text{for $i\in N$} \\
f_{ij} &\ge 0 &&\text{for $(i,j)\in A$} \\
\end{align}
By symmetry, you can optionally limit the choice of root nodes to the first five nodes in the top row.