Whenever I try to start a test server, I would not be able to connect. It just shows this error message. Do any of you guys know how to fix this?
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I don’t think this is the right place to post this. This section is intended for bugs/glitches/exploits that are prone for users to take advantage of, thus it being private and strictly blocked off. I would suggest you move to either Roblox Discussion or Bug Reports, if it’s a bug.
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Do you have any repro steps to make this happen? Are you properly connected to your network?
I was having some connection blips last night, so Roblox may just have been having service issues.
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I was able to connect at first, however I opened too many servers making my computer heat up. When I reopened it with less test servers, it would not connect.
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Are you still having this issue?
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It is hard to grasp when I am having this issue. It sometimes works, and sometimes doesn’t. It appears during random times.
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Are you allowing Roblox studio through your firewall?
If not, make sure to look out for the prompt when you start a test, if you have permanently denied this prompt, follow these steps to allow it.
To add an inbound rule for a program by using the Windows Firewall Control Panel program
Click Start, click Control Panel, and then under Security, click Allow a program through Windows Firewall.
On the Exceptions tab, check the list to see if an exception for your program already exists and just needs to be enabled. If you find one, select the box next to it, and then click OK.
If a rule does not already exist, click Add program.
In the Add a Program dialog box, either select your program from the list, or click the Browse button to enter the path to the executable file.
If the program should only be accessed from certain network addresses, click Change Scope, and enter the appropriate subnet addresses or individual IP addresses. Click OK to return to the Add a Program dialog box.
Click OK to return to the Windows Firewall Settings dialog box. Your new exception is displayed in the list in alphabetical order with a check mark in the box next to it. Click OK to save your new exception rule.
Test your rule by running the network program that needs to be able to receive unsolicited network traffic.
Source: https://technet.microsoft.com/en-us/library/cc766312(v=ws.10).aspx
Hope this helps! 
How do I do that on a Mac?
My firewall had been off apparently; even when I was getting the bug.