Ever wondered what mean the errors when a Configuration Profile fails to install?
The easiest way is not to go to Jamf Nation, but start with https://osstatus.com/.
With this, we get the following output:
errSecRequestLost -- "The request was lost". A good indication that you may have a firewall trying to mess with SSL (something known as Man-in-the-Middle or MitM).
Changing the network solved this issue, and the configuration profile (SCEP Certificate) installed correctly.