Seems like everything is set up correctly and I can't replicate the issue since I have no SCCM configured (cloud only). I suppose you did a thorough research and perhaps you already found the following blog about Windows 10 “co-management” A-Z with some more troubleshooting tips. Did you open a support case with Microsoft? Would be my next step while in the meantime perhaps someone else could shed some light on this issue. Wondering if it's a config issue or a bug. Sorry I couldn't be of more help.