Before your start the installation of the sensor for MDI it’s a good idea to just check that the server that will run this service can connect to Azure. This can easily be done with PowerShell from the server you will install on. For the tenant name just change value to the name you have before onmicrosoft.com. In my case it would be the bold part thisismyname.onmicrosoft.com.

$HTTP_Request = [System.Net.WebRequest]::Create('https://<tenantname>.atp.azure.com')
$HTTP_Request.GetResponse()

You should get a response that look something like this.

If you getting some kind of error my recommendation is first to check from another machine that you know will have all traffic to internet open to verify that you got the command correct. If this works please look at this article and start work with the network people before you try and install MDI on that server.

https://learn.microsoft.com/en-us/defender-for-identity/prerequisites

Good luck with your setup!