Hank here from Shopify.
Sorry to hear you are experiencing an issue with this, that message, however, seems to relate to your store being password protected, rather than an issue with the domain? Have you removed the password from your store (Online Store > Preferences)?
Once your domain says it is connected, usually the issue is located elsewhere, but it could also be a localized issue. If there is no password set, can you try opening your website using incognito mode to see if this works? If it does, then can you try clearing your cache?
Additionally, can you share your domain, and I can run some tests to see if the DNS records are correct, as well as see if I can open your website also?
Let me know how you get on!
All the best,