Did the link Troy shared help you to fix your Zap?
If not, and you’re still getting those errors, I’d suggest trying the following troubleshooting steps mentioned in WooCommerce’s User Guide:
authentication failed: “The Zapier Integration for WooCommerce plugin is missing or WordPress pretty permalinks may not be configured correctly. File Not Found” response received. HTTP status: “404” on https://example.com.”
A HTTP 404 (File Not Found) error was encountered when authenticating.
Please ensure you complete the authentication dialog window correctly.
Ensure the Site Address (URL) that you entered is correct. It must be the full canonical URL of your WordPress website’s home (front) page, excluding a trailing slash. It should not be the URL to your WooCommerce shop page. If in doubt, go to the WordPress Dashboard → Side Menu → Settings → General screen and copy the Site Address (URL) field value and paste it into the Site Address (URL) field in the authentication dialog window.