Microsoft has just announced a new update rollup for the Microsoft Monitoring Agent, the KB article and download link is here.

Issues that are fixed in this update rollup

• Proxy settings are added to the agent setup wizard.
  Users can now provide proxy settings while they complete the agent installation wizard.
• Account validation steps are added to the wizard.
  After users enter an account and workspace to connect to Operational Insights, the wizard performs a test to verify that the account information is valid.
• Connection status is added to Control Panel.
  A connection status feature is added to Control Panel settings for the Microsoft Monitoring Agent.