If your financial institution is listed as supporting direct-connect but you can not establish a connection, provide the name of the bank, the version and build number of Moneydance and the text of any error message that you receive.
As Kevin had stated, the trial version is fully functional (i.e. it is exactly the same as the registered version) and will, therefore, download transactions. The only difference is that there is a 100 manually entered transactions limit. Once you reach the limit of 100, the program will nag for a license key. Downloaded data doesn't count toward the limit.