If you don't mind me asking, why do you have an ePO server in the DMZ?
I've always thought about this as an option for remote laptop users.
It certainly isnt the norm and has been around before agent handlers. Devicecontrol to these systems in light of no AD is an interesting configuration. I was nearly complete and now stuck with a white screen each time i try and bring up dev control. When u give a client software, watch how they try and use.
It shouldn't be stopping you from executing the DLP Policy manager. A Computer Assigned Group will work instead of the User Assigned Group.
Your issue sounds more in line with either AcitveX not allowing the install of the management tools or .net 3.5 SP1 not being installed. Please refer to the installation guide on how to configure IE to allow the ActiveX to run and confirm .net 3.5 SP1 is installed.
With it being in the DMZ, can any other computer access the page? Is it limited only to the server?