This issue happens if you specify a single HTTPS certificate in nginx settings (custom_ssl_cert parameter in config.yaml). You need to concatenate the whole chain of certificates into one file:
cat Certificate-website.pem CACertificate-INTERMEDIATE.pem CACertificate-ROOT.pem > CAchain.pem
and specify the absolute path to this file in config.yaml:
custom_ssl_cert: /path/to/CAchain.pem
More details about setting up a custom certificate in Headwind Remote Premium can be found in README.md.
Note: a similar problem may arise in Headwind MDM: https://qa.h-mdm.com/7394/