WordPress itself generates the connection key
WooCommerce is not a marketplace but a plugin running on your own site. So you generate the connection details in your own admin rather than a seller panel: WooCommerce → Settings → Advanced → REST API. There you create a key pair — a consumer key and a consumer secret. You also enter the site address, because unlike a marketplace the address is not fixed; it is yours.
When generating the key you must choose the read/write permission level. Grant read-only and orders will arrive, but stock and price updates cannot be written back. This is exactly the "it works but something is missing" situation people hit after setup, and the cause is a single dropdown.