Some environments use a proxy server for Internet traffic. If the proxy requires authentication by a user account, this means that the Change Auditor agent may not be able to reach the Internet (Azure/O365) from the computer account under which it runs.
It may not be possible to add exemptions to the proxy server to allow the agent machine to reach the Internet. It is instead required to specify a valid user account for successful authentication to the Internet.
If you use a proxy to connect to the Internet, you will need to configure the agent used to connect to Azure to use the proxy as well: