This error usually comes up when either the plugin was not installed in the correct location or the plugin could not initialise the socket properly. It also comes up when you attempt to export from Bridge but Unreal Engine is not running.
To solve this problem, first, make sure that both Bridge and Unreal Engine are running. If the issue still lingers, check if there is a green Megascans button inside Unreal Engine.
If you don't see the button in Unreal Engine, it means the plugin was either not installed properly or was installed in the incorrect location.
To fix this, first, close Unreal Engine.
Then select one of your Downloaded assets in Bridge and check if the Installation Folder was set to point to the correct location. It should be set to where your engine's plugins are installed, like this for instance: C:\Program Files\Epic Games\UE_4.22\Engine\Plugins. The path should basically be where your engine's plugins are installed.
If all else fails, i.e. your Installation Folder is correct but you still don't see the green Megascans button in UE4, then remove and re-install the plugin by following the steps in this article.