Shane O'Brien scored for the Lightning (2-2-1).
Dallas will open the regular season Wednesday night at Colorado. Tampa Bay gets started Thursday night at home against New Jersey.
Conner's deflection at 2:31 of the opening period gave Dallas the lead, but Tampa Bay tied it 1-1 at 4:53 of the first period when O'Brien connected on a power play.
Hagman's goal on a setup by Conner gave Dallas the lead at 10:21 of the first period, and Halpern's goal 1:39 later pushed the Stars' advantage to 3-1.
Conner's second goal, scored at 8:39 of the middle period, and Morrow's power-play goal with 35 seconds left in the frame made it 5-1.