Failed to copy files to Macintosh_HD
The Permission denied, please try again. is because your password for username was not correct.

If it were a file permissions issue, the error would tell you the path it was having trouble with.

$ scp user@host:/var/root/ /tmp/
scp: /var/root: Permission denied

$ scp user@host:Desktop/*.xls /var/root/
/var/root//test.xls: Permission denied