Which instruction guide were you following? The 3.x guide has been updated as of earlier this month to reflect the changes that Facebook made to their developer portal. It's definitely much cleaner now, and we're thankful for that:
www.sourcecoast.com/jfbconnect/docs/configuration-guide
Now, regarding your issue, above the error message you copied, there should be a line that says "Connect URL: http.....". Does this URL match exactly what we're recommending? Basically, we look at the URL you are currently on, and match it to the Connect URL. This is similar to what Facebook does to ensure that requests made from your Application are not spoofed from another URL. Facebook, in the past has made the distinction that
www.yourdomain.com and yourdomain.com are 2 separate URLs, which has caused some problems.
To work around this problem, they recently introduced the "Base Domain" setting, which, if you put 'yourdomain.com' into this field, then, to Facebook,
www.yourdomain.com and yourdomain.com again become 'the same'. Hopefully this is clear.
In short, if you can, we suggest updating the Site URL to the URL we recommend. However, if you have your Base Domain setup properly, you should be able to ignore this warning as long as the Connect URL does resolve to your site (www or no www).
Finally, normally, application changes propagate within seconds, so you should notice any changes immediately.