How exactly are you deploying the agent - deploy agent, or smart installer? Does the client have access to the epo server at all? If not, is there an agent handler that it has access to? With the smartinstaller, it will pull from the epo server itself. Deploy agent method can use an agent handler. A relay server is more for communication, where peer to peer serving helps with software requests. I would first recommend opening the required ports and traffic through the proxy for epo/agent communication. Refer to kb66797 for required ports.
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