Specifically 'Automatic Downloads and 'Direct Connect'.
Also, in order for Moneydance to connect to Chase, you need to authorize your account(s) with Chase for Desktop Apps. You do so on the Chase website. Unfortunately, the option is rather hidden. If you need help finding it, let me know and I'll point you to it.
After you have authorized your accounts for Desktop Apps, you should try connecting to Chase with Moneydance. You may likely receive an error.
At this point, log back on to the Chase website and look to your Secure Message Center for an email instructing you on how to verify your Identity.
Once you've verified your identity, you should then be able to connect to Chase with Moneydance.