This case sounds similar to a different software that I was trying to install recently. In my case it turned out to be Windows Defender causing the issue.
The software I was trying to install was an updated version of an antivirus program which I subscribe to that first downloads an installer, similar to the XLN setup. I kept getting "unable to connect, check your internet" messages from the installer. My internet was working just fine, thank you.
So, Windows Defender runs in the background when you use a 3rd party AV on Windows 10, but in my case, since I had uninstalled my 3rd party AV it was running in full real-time scan mode. I had to go into Windows Group Policy editor to disable Defender. That is only available in Windows Pro, but there are registry edits available for Home users.
https://www.tenforums.com/tutorials/5918-turn-off-windows-defender-windows-10-a.html Once I disabled Defender, my installer connected just fine. I had tried nearly everything else including disabling firewalls, etc. It really surprised me that Defender was interfering with an internet connection, but I'm now convinced that Microsoft has turned Defender into a super net nanny!