First, note that at this time you can only connect to your personal Facebook Marketplace account, not a Facebook Store.
If you use a Facebook Store, consider using Shopify, where you can use your Shopify catalog to sync with your Facebook and Instagram Stores. Learn more here.
If you are having trouble connecting your personal Facebook Marketplace account:
Make sure that you are logged into Facebook on Chrome, and visit the marketplace connections screen to connect your account. Learn how here.
Are you a brand new Facebook Marketplace user? Try to list your first item on Facebook Marketplace directly. Then, repeat the instruction above.
If the problem persists, please contact customer support.