From the screenshot, I see that ePO is trying to communicate to AVERT website but its failing.
Couple of things needs to be checked.
1. Make sure that port 8801 is opened from firewall.
2. AVERT URL should be opened from http://myavert.avertlabs.com:8801/reportservice.asmx is released from the proxy.
3. In the ePO server, make sure that you have entered the proxy details correctly (Menu=>Configuration=>server settings=>proxy settings).
If still issue didn't get resolved then please post EpoApsvr.log file (\Program files\McAfee\ePO\DB\Logs).
Thank you for the response. Your assumption is correct, the port on the firewall was not open to the EPO server. Once that was corrected the problem was fixed.