OFX uses an AppId and AppVersion to identify the application that is communicating with the OFX server. For example, the AppId for MS Money is “Money”, and the AppVersion for Money 2007 is “1600”. The server can choose to serve or deny your OFX request based on this information. That’s why I get a letter from my bank every year telling me that they are phasing out support for x version of some piece of software.
For lists of AppId and AppVersion values for Microsoft and Intuit products, look here:
Money: http://www.microsoft.com/money/fi/supportver.msp (edited, Microsoft removed this link, see update below)
Quicken/QuickBooks: http://fi.intuit.com/technical/appidver/
OFX Blog 
I can only think of one reason: money.
Finally! I struggled with getting GNU Cash working until I found this post. Thank you for the information. I knew the problem lied in the APPID and APPVER, but did not know what values were valid. I found some posts that suggested different APPVER values, but they would not work for me. My bank (BB&T) is apparently pretty strict in this check.
I’m not surprised, though. I had to fudge my browser identity for several years because they would only accept IE. Why do they care what program I am using anyway?
You will need to use an AppId in order to communicate with OFX servers, yes.
Question though, do you have to have a registered AppId?