I have the same problem:
Please, connect your facebook account to make operations to the custom audiences of your Ad account.
and just realized that this has been going on since at least January 2018.
I have the latest version of Pixel Caffeine, the latest version of wordpress, Pixel Caffeine indicates that it is connected to facebook pixel via the auto method, and I do see statistics in both the Pixel Caffeine graph, and also from within facebook. Plus my Chrome Pixel Helper extension says the pixel is firing. I checked and all mentioned permissions and they are already set for the app.
I tried disconnecting and reconnecting my facebook account but I continued to receive this message afterwards.
the version of Pixel Caffeine you are using: 2.0.6
the version of WordPress you are using: 4.9.8
what shop plugin you are using and what version of it: woocommerce 3.4.5
Theme: Divi 3.12.2
what browser you are using: chrome 68.0.3440.106 (Official Build) (64-bit)
A link to your site so we can view issues, especially important for issues around pixel firing: https://makerwares.com
I hope you can help.
Thanks