While I haven't seen that specific issue before, it's worth checking if you meet all the system requirements, including things like firewall settings. You can see all the system requirements here. If you've checked all those and you're still getting the same issue, it might be worth contacting support via https://support.mendix.com/hc/en-us
Update: Turns out I had to be on my company network in order to complete the installation. It works now!