If you haven't done so already, you'll need to authorized your account for desktop apps. You can do so on their website. The option is a bit hidden. If you need help finding it, let me know and I'll try to walk you through it.
Once you've authorized your account, try to connect again via Moneydance. You may or may not still receive an error. If you receive an error, check you inbox for an email from Chase indicating that you have to verify your identity via their secure message center. The email will explain how.
Once you've verified your identity, you should then be able to connect via Moneydance without error.