Azure Marketplace – SQL Server 2016 Virtual Machine – Data Tools cannot be installed

As you know, easiest way of getting a SQL Server set up in Azure is, purchasing a Virtual Machine in the Marketplace. There are multiple VMs for SQL Server based on Standard, Enterprise and Developer editions, you can pick the one as per your requirements.
Remember, it does not come with all tools. It has Management Studio installed but it does not have Data Tools installed, hence it needs to be installed.
I had configured a SQL Server 2016 SP1 VM and have been using for sometime. There was no requirement for Data Tools but I experienced an issue when I try to install Data Tools using standard Setup.exe.
I noticed that Setup fails when it tries to download required components from Microsoft site.
……Error 0x80072f08: Failed to send request to URL:……………
I did not immediately identify the issue but with my fellow MVPs’ help, I realized that it can happen with a block related to security.
If you face the same, make sure that no firewall settings block required site and Administrator (or whoever run) has no restrictions. You can make sure that Administrator has no restrictions by checking Server Manager – Local Server – IE enhanced security configuration.