Not sure if this will help your cause, I had the exact same issue and it took me forever to figure out what to do, most of the time I just ignored the upgrades as nothing worked.
Tried the “solved” option, didn’t work straight away, but it did work in the end.
Steps that I took, I can’t guarantee they’ll work for you.
1. Login to safe mode, disable auto-proxy, go to your wifi and disable the auto proxy under the proxy setting.
2. Restart, go to recovery mode so hold down COMMAND+R and within recovery use terminal and type “csrutil disable”.
3. Restart back in to normal mode.
4. Restart back in to recovery and use the same command “csrutil enable” but change disable to enable.
5. Re-run the setup.
I did this and it worked for me, not sure if there’s is a glitch in the installation but it was the only thing that worked for me after numerous attempts so it could also be simple an issue with the secure boot part so you could try and ignore the other steps as I did leave wifi on and it still worked so to me this is all about trial and error.
But as an FYI I did download the combo file to achieve this and didn’t rely on the auto update from the App Store.
Like I said it seems to be related to secure boot and not so much the proxy or wifi side of it.