This error is apparently caused by the Android startup wizard bug: if there is a download error, you always get this message (no option to retry).
To avoid this issue, make sure your WiFi connection signal is strong in the place where you setup devices.
Note: if you see this error message, do not click Reset, but reboot the device.
If you aren't able to enter the QR code scanner after reboot by tapping the welcome screen 6 times, reboot the device again. This issue is not related to Headwind MDM, this is an Android bug.