You should be able to test the connection on the server itself using. Make sure you are logged on as the service user, then open a web browser and point to the OData feed. If this doesn't work then you need to look at your proxy and/or firewall settings.
Thanks Eric. I do not have access to the server but I was able to have the Server admin test that out. It appears to be a certification issue for the https. They are looking into fixing the issue.
That also does confirm my question. The "Test Connection" uses the local desktop you test it from not the Server. This can cause some confusion when you get an error report that fails due to connection issue but the test connection shows it connects fine. You do have to manually connect to the server and run it to find out for sure what the error actually is.