Your site will not connect

The connection step returns one of three errors. Each means something different, so read which one you got before changing anything.

Ultimate Member REST API not found

Memberside reached your site, but the Memberside plugin did not answer.

The plugin is not installed or not activated. Check Plugins in WordPress. See Install the plugin.
You connected a different site than you installed it on. A staging URL, a www mismatch, or http where the site redirects to https.
Permalinks are set to Plain. The REST API needs pretty permalinks. Go to Settings → Permalinks and choose anything else.

The error message still uses the plugin’s former name. The plugin is called Memberside now; the message has not caught up.

Those credentials were rejected

The plugin answered, and refused the sign-in.

You used the email address instead of the username. Application passwords authenticate against the username.
The password was mistyped. It contains spaces, and the spaces are part of it. Paste rather than type it.
The password was revoked. Check Users → Profile → Application Passwords on your site, and create a new one.
Your site is not serving over HTTPS. WordPress refuses application passwords over plain HTTP.
A security plugin is stripping the Authorization header. Some hardening plugins and some Apache configurations remove it. This is the most common cause when everything else looks right.

Connection failed, or could not reach that site

Memberside could not reach your site at all.

The URL is wrong. Open exactly what you typed in a browser.
The site is not public. Memberside calls your site from its own servers, so a site on localhost, behind a VPN, or restricted by IP cannot be connected.
HTTP authentication is in front of it. A staging site behind a basic-auth prompt will not answer.
A firewall is blocking it. Some hosts block unfamiliar server-to-server requests by default.

It connects, but as the wrong user

The application password belongs to a different account than you expected. The builder reads your plugin list and appearance settings, which needs administrative capability.

Create an application password under the administrator account you intend to use, and connect again.

It connects, but every feature is greyed out

The connection works and the plugin list could not be read. Enable the Site endpoint group under Memberside → REST API. See A feature is greyed out.

Checking from outside

Open your site’s REST root in a browser from a network that is not your own — a phone on mobile data works. If that fails, the problem is between the internet and your site, not in Memberside.