I have the My Marshall app paired with my CODE amp. I have my mobile device (Samsung tabket) connected to the amp via a Micro USB cable but still receive the not connected message. I can't download any user presets.
You should try disconnecting the device from the amp and connecting it to your PC. There are no operations, normal instrument playing that is, that require the device to be connected to the amp via USB. This may not apply to any recording or DAW operations but I don't use the amp for those purposes.
Assuming you have paired your device to the amp through Bluetooth, you then open the Gateway app, go to MENU, and select CODE and (a) confirm the amp is listed and (b) you are connected. You may have to tap the amp address more then once to get it connected to Gateway.
Once the device is connected, all PRESETS are sent to the amp via the device, not the USB cable. You can, however, connect the PC to the amp to test a PRESET before moving that PRESET to your LIBRARY. After all the PRESETS are on your device, you can switch between PHONE and AMP on your device to use any PRESET.
Hope that helps. Cheers!