If there were no error messages then it seems like the download was probably successful. If there were no new transactions downloaded that weren't already in the register then it's possible there wouldn't be any blue dots.
You can go to Help -> Show Console Window menu) then try the download while that window is open. Moneydance will print the messages that it sends to and receives from the bank to the console, but only while the console window is open. Using that, you could see for sure if a response is being received from the bank.
Hopefully this information is useful. If you have any other questions please let us know.