Salesforce now requires that the Connected App be installed by a system administrator before users can self-authorize.
This ensures that the connected app (in this case, Mass File Migrate) is trusted and properly authorized within your Salesforce org.
Please complete the Authorize step in the Mass File Migrate Configuration Guide, and then follow the steps below:
Steps to install the Connected App OAuth:
Go to Setup → Connected App OAuth Usage
Locate “Mass File Migrate” in the list
Click Install next to it
On the next page, click Install again to complete the setup