When you configure MDM Link, it fails with error Applying configuration settings... Failed. The underlying connection was closed: the connection was closed unexpectedly:
PMM Proxy can't connect to the MDM server over the service port.
You can verify it using PowerShell command Test-NetConnection MDM_sever_public_FQDN -Port ServicePort , where
MDM_sever_public_FQDN is the public FQDN of the MDM server you specified when configured MDM component;
ServicePort is the port used for incoming Parallels Mac Management connections.
It must return TcpTestSucceeded : True, otherwise, the connection is blocked.
Adjust firewall settings to allow incoming TCP connections from PMM Proxy to the MDM server public FQDN over the service port.