Hi,
I just opened our Fusion instance to double check the process of setting up the connection to Workfront.
As the connection to our production instance was already existing, I am doing all steps again using our Workfront sandbox.
At first, when creating a new connection, I experienced, that our production instance url was already filled in. But perhaps this has something to do with the fact, that it's already used...
The whole domain should be exactly the same as when opening your Workfront instance in the browser.
https://<name>.my.workfront.com
Afterwards you should see the login screen. Most important here is, that you use an admin account which is not the same as the one you are using when logging in to Workfront directly.
So, after logging in and granting access for Fusion the connection should be verified and everything is set up to go on.