Step 1: Go to your Facebook business account here: https://business.facebook.com/
Step 2: Click on the Inbox
Step 3: Under Instagram Direct click Connect Instagram
Step 4: Click Confirm and complete the steps by Instagram
Step 5: You will know that everything is connected when you see this box below
Final Step: Once you have successfully connected your instagram private messages in you Facebook Business Manager you need to do a new "Connect to Facebook" in Retriever. For a detail guide on how to do a Connect to Facebook click here.