I’ve never installed a plugin before and trying it out on my test site. It is asking me for my Host name, username and password and the connection type. Obviously I know my username and password and who we host but it won’t accept it.
Just to clarify when you say your test site do you mean one hosted on your hosting company (i.e not mine).
If it’s your hosting, and you are trying to install via your dashboard, then you shouldn’t be getting this message. And it may to be something to do with the server configuration so it may be a question for your hosting company. Who are you using btw?