Im getting the same error. When I log into facebook it shows as connected. When I go back to Shopify it says it's not connected. When I tried connecting it the first time it showed as successful. Not sure what's going on, but this needs to be fixed.
An hour later.... looks like I've figured it out on my own! yay me! So I basically granted the permission on facebook. By going through "page roles" , when that didn't work I went into "instagram" through facebook. I seen there was a pop-up in regards to connecting the account I clicked on that and then voila!... I wish I could help some more but I was clicking, and poking through a whole bunch of different tabs and pages to figure it all out! I confused my own self (lol) I'm not tech savvy either, complete novice.