You are receiving this error message because the directory can not be automatically created and/or made writable due to the server security permissions configuration.
Create a folder named csv_files within wp-content/plugins/connections-csv and set the permissions to either 755 or 767. In some instances you may have to change to the permissions to 777. When you have completed the import you should reset the folder permissions back to 755 if you changed them to 777.
NOTE: If the folder already exists, please delete it first.