EDIT: I spend a support case on it, since there is too much fuzzyness around this and no-one seemed to know for sure around the web.
The message means that:
a) you have setup your app and token fine, no problems there
b) you also did a great job with the imap protocol
c) HOWEVER, even tho your application is and does connect fine, you lack rights on this specific mailbox.
Hence the authenticated (application) and not connected (mailbox)
In other words: you most likely messed up or skipped the step "Add permissions to a specific mailbox" (which can take up to half an hour to take effect)