Oh my goodness, I just got it to work. Writing this here so that it might help Kevin. I changed my permalinks to default saved it and then changed it back to post-name. Then I retried connecting the Facebook API. The usual screen came up, but then it took me to an error page because the URL it sent me to did not include the directory where my wordpress files were saved. On the error page, I went to the URL and added my directory name after my domain, and it worked. Perhaps try that to see if this works for you too.
Have a good weekend!
Michelle