Yes Wordfence is still free and we used to make you come to our site to get a free API key. We changed this to make life a little easier for you so that when you install Wordfence as a free customer it automatically gets a free API key for you saving you from visiting our site.
So for some reason your site can't connect to our servers and I'd keep bugging your host to find out why.
If you'd like, and if your host is very technical, you can ask them to send me a tcpdump packet sniffing session that I can import into wireshark and I'll be happy to examine what is happening on the wire to diagnose the issue.
Regards,
Mark.