Hi kbeach,
According to your post, I suggest you check the Address in step 5 is correct, it should be like https://contoso.onmicrosoft.com/teamsite/sitepages/home.aspx.
Note: You can access this site and have related permission.
In addition, to be compatible with Office 365, make sure that you have the latest updates for Office for Mac 2011, please check updates for Office for Mac 2011:
1. Open an Office application (for example, Word 2011).
2. On the Help menu, click Check for Updates.
3. Choose automatic or manual updates.
For your last question, I want to confirm that you want to connect SharePoint site with SkyDrive app for Mac or connect to SkyDrive with Document Connection.
Thanks,
Eben Liu