Posting this for anyone else that runs into this issue. I have an application filter setup that blocks all high risk applications that can bypass the firewall. When installing my Ecobee 3 Lite thermostat, it would not connect to the Ecobee servers because Sophos XG was blocking TOR Proxy. I'm not exactly sure how the Ecobee device connects to its servers for updates but this appears to be an incorrect classification.
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