Same here. One blog at one host can update automatically without trouble. Two others on the same box at another host cannot auto-update, providing the following screen:
To perform the requested action, connection information is required.
It asks for FTP information, but it's not clear if it's asking for the FTP information of the update host, or of the machine the blog is hosted on. Other posts have led me to believe it is asking for the update host. Previous to this, I also had an error during this process where the auto-update mechanism would report a DNS lookup problem. Hard-wiring the downloads.wordpress.org IP address into /etc/hosts got rid of this, but now the FTP issue is present.
Would love an explanation as this must be a widespread problem.