Bank of America support automatic downloads using Direct Connect, but you'll see "!!Not Accepting New Connections!!" next to the connection name. This is because Bank of America have recently discontinued their support for new Direct Connect activations.
If your account was activated for Direct Connect before they turned off support, you should still be able to connect in Moneydance.
You can set up your accounts as normal by selecting your account and choosing Online > Set Up Online Banking. Then select "Connect to OFX Service" and choose your financial institution from the list.
This will only work if your account was already enabled for 'Direct Connect' access, and not another connection method - Web Connect or Express Web Connect.
If your account isn't enabled for Direct Connect, you'll see an error when you try to connect.