I was stuck here for days working this problem out. In the Administrator | Cloud connection gateway | Service name when highlighted would say 'status' ready. On the tab 'Connection Points' at the bottom would say 'Connection Status' disconnected. The SMS_CLOUD_POXYCONNECTOR.log just kept polling every 60 seconds giving the same error message: ERROR: Failed to build Tcp connection b4022caa-886f-4d7e-8bda-09d950c321a2 with server MyUniqueCMGname.MyPublicFQDN:10140. Exception: System.Net.WebException: TCP CONNECTION: Failed to connect TCP socket with proxy server.
I also checked my unique CNAME that I added to the site hosting my public web site that pointed to MyUniqueCMGname.cloudapp.net
I used a wildcard SSL certificate which I purchased for my domain
All of the certificates in this guide were added. Something to note with a wildcard SSL you need to overwrite the *.MyPublicFQDN to say under field 'service name': MyUniqueCMGname.MyPublicFQDN
I checked the CNAME propagated to al the DNS names using the dnschecker.org tool using this format: MyUniqueCMGname.MyPublicFQDN. This resolved successfully to: MyUniqueCMGname.cloudapp.net
Everything lined up perfectly so I was completely stumped. Now I created a local CNAME on my local DNS server using a Forward Lookup Zone of MyPublicFQDN that CNAME pointed to MyUniqueCMGname.cloudapp.net which is the same as what was done on the DNS of my public web site.
The resolution in my instance was really simple the problem was in my local lab environment you need to go to the DNS and check the SOA and NS records are configured correctly for your Forward Lookup Zone some entries default to your local FQDN when you create a new one. Once I changed those the Cloud connection gateway comes into life now on the tab 'Connection Points' at the bottom would say 'Connection Status' Connected almost immediately after tweaking the local DNS forward lookup zone