We don't have that policy set but we do have 'Configure Automatic Updates' set to enable and 'Do not connect to any Windows Update Internet location' not configured. I'm guessing that as we are using SCCM we shouldn't need the first one on and should enable the second.
We've got the same issue using Smoothwall as well, thankfully we only have a smattering of Windows 10 devices so it's not to bad. I know that doesn't help you but hoping if it is more of us, might get some attention from Smoothwall guys.
For those of you wondering about Classroom moving to Teams, this quick vid might clear it up. I'm sure some of you have seen it already...
https://www.youtube.com/watch?v=1VSh61vUhSA