I was experiencing the same problem. The solution for me was to go to App Center and add an Organisation to my profile. Next I generated an API token from within the Organisation in App Center and used that token in the Build Native App.
This seems to be an omission in the Mendix documentation about setting up the various tools needed to build packages.
Ronald van Puijenbroek
I faced the same issue but when I generated a new API key it worked, try to generate a new API key it will work indeed.