Same issue. Happened before the update, and after as well.
All setup steps go well. Get to “You’re all set!” screen and click “Done” which opens the screen with the WooCommerce and Automattic logo “Something went wrong when connecting Facebook! Please try again.”
Facebook for WooCommerce 2.2.0
Woocommerce 4.7.0
Theme Musicsong 1.2.3
WordPress 5.5.3