You can normally open a demo account directly from MT4, under the "File" menu.
The problem is that FOREX.com "Demo" accounts on their new server (as of Dec. 16, 2018) appear as "Real" accounts to applications. I have send them a note about it.
Well I do have the exact same problem here with a bunch of brokers !
I have demo account with FXTM and even with FxPro but none of them worked. I get the same error as you did.
The only terminal that worked fine was FXCM !!
Anybody knows what's the problem ?