Maybe this will work for some people, none of the other suggestions worked for me. I was able to associate my pixel to the Shopify-owned catalog by also linking the Facebook Marketing App through my store. I think I got to it through the Marketing tab on my store admin, connected it to my FB page, and then the pixel was linked. I do not use it to run any ads though, still do those through FB ad manager.
Sure - Assuming you already have your catalog set up on Facebook, on the left side of your shopify admin page there is a section called Marketing. Click that and set up Facebook marketing with your page. Then go back to your ads manager account, in the top left there are three lines. On that menu, select catalogs. Click on your shopify catalog. when that opens, on the left menu click event data sources. It will hopefully show your pixel. If not, try creating an ad with that catalog and see if it shows up. I can't recall which I did first!
Catalogs are very difficult to understand structurally in FB… but Trackify X solved the puzzle. Trackify X Shopify facebook pixel app can create catalogs which automatically syncs with event data on a daily basis which then can be used for Facebook retargeting ads (DPA).