You are trying to connect to a Facebook page, correct? Not a personal profile?
Can you please take me through what you see when you try to connect?
From WordPress.com ->Tools ->Marketing ->Connections, when you connect you should see an overlay appear asking you to authorize a connection to your Facebook account. Next the overlay will ask you to approve the permissions we need. And then once the connection is made you should see a list of all Facebook pages you’re an admin of, and there you select the page you want to share to.
At which step in that process does it fail?
Can you also take a screen shot of the error message, so we can see it in context? To share a screen shot here, either use a third-party service like snag.gy, or upload the screen shot to your media library and share the media file URL here.