I contacted PenFed customer support and received a response saying they don't support it and instead suggest downloading directly from the Penfed site. This takes a lot of extra time given multiple penfed accounts.
Here's the response I received.
Thank you for contacting Pentagon Federal Credit Union.
The Quicken and Microsoft Money programs may offer to download information for you directly from a financial institution, but direct downloads are not currently available for PenFed accounts.
These programs have utilized new techniques that may allow you to automatically download your PenFed transaction history: however, we have not made changes to accommodate these features. If you are having difficulty using one of these methods, you should contact the program provider for support.
However, you can download your recent transaction history and import it into some financial management software through PenFed Online. Please access PenFed Online at the following link: <removed - can't post links>
First, login with your username and password. From the Main Menu page click on the account name to view the transaction history for the account.
Alternatively, click on the ?+? icon located to the left of the account name to be presented with more information about the account as well as additional options. Click on the ?View Transactions? link to access the transaction history for the account.
From the account transaction history page click on the ?+? icon located to the left of the ?Download Transactions? to be presented with your downloading options.
The most recent transactions will appear first. If there are more transactions than can be displayed on one page, a "Next Page" button will appear. When you have reached the end of the available transactions, an "End of Available Transactions" message will appear.
Quicken version 2004 or higher only supports checking, savings, and credit card transactions. If you wish to obtain certificate of deposit transactions, please note that a certificate of deposit should appear as a savings account for the purposes of downloading.
To download all the transactions listed on the page keep "All" as the value selected in the pull-down menu. To download only certain transactions, select "Transactions selected individually above" and check the box to the right of the transactions you want to download. To download a range of transactions, select the "Transaction # range" from the pull-down menu. Enter the beginning transaction and the ending transaction numbers in the "range" boxes. These numbers are found to the left each transaction listed above. The transaction numbers are used only in the display of this screen and should not be referenced when contacting Pentagon Federal Credit Union.
To download more transactions than are displayed on the screen, click the "Next Page" button first and when all the transactions appear, follow the instructions above.
When the transactions have been selected, choose the format for the data. Click the Download button and a dialogue box will appear asking you where you want to save the file. We suggest placing it in a directory specifically for PenFed Online transaction history downloads. For example, "C:\My Documents\PenFed Transactions\" on a Windows-based computer. You can name the directory whatever you like, but you'll want to use a name you can remember. Click OK.
(Please note: you can manually download using the QIF format but OFX or QFX for the Mac are not supported at this time.)
If finished with PenFed Online, click the "Log Off" button at the bottom of the screen and open your personal financial management software (Quicken or Money).
Follow the software's instructions for importing transaction files.