Looks like I had an old "ESET Services" proxy server in the config, but was set use direct connection if it failed. I disabled this setting, and got better results, but still fails with same results.
As I watch Task Manager, I see that the Management agent is downloading quite a bit for a while (several minutes) but then fails.
I've captured this with Wireshark, but don't know wireshark enough to know what I'm looking at.