Error: Failed to establish connection to [My site] error Response from server does not contain valid XML.
There is a redirect set up for your website.
To confirm this copy the URL you have defined in Linnworks and paste it into your browser. You will then see that the URL will have changed when the page is loaded.
Check if you have some kind of a redirect on your site. Try copy and pasting the URL in the error into a browser and see if it redirects, even if it's just to remove "www." from the beginning.
Change the URL in Linnworks to exactly match the one redirected to.
For example, if you type "www.mysite.com" into your browser, you may find that it redirects to "mysite.com". So you need to update Linnworks to use "mysite.com"