To anyone still experiencing this issue despite adding environmental variables and reviewing conda config files, there is another area you should consider looking at, especially if using an authenticated proxy in your infrastructure.
Pro Notebooks leverage a webserver run as localhost on port 8778. If you've not set an exclusion on your proxy settings to prevent localhost:8778 (or 127.0.0.1:8778) from going through the proxy, it will fail authentication and will be given a http 407 error in response (which it cannot handle) and fail.
You'll need to work with your IT group to add this exclusion, depending on the proxy you use and how it is implemented.
Here is an example on how to do this in windows via Search > Proxy Settings:
