Hello.
We have faced exactly the same issue, and the solution was to whitelist the access (url) to the keyvault in our proxy.
In the documentation there is this note: create-self-hosted-integration-runtime
Tasks might fail in a self-hosted integration runtime that you installed on a Windows server for which FIPS-compliant encryption is enabled. To work around this problem, you have two options: store credentials/secret values in an Azure Key Vault or disable FIPS-compliant encryption on the server. To disable FIPS-compliant encryption, change the following registry subkey's value from 1 (enabled) to 0 (disabled): HKLM\System\CurrentControlSet\Control\Lsa\FIPSAlgorithmPolicy\Enabled. If you use the self-hosted integration runtime as a proxy for SSIS integration runtime, FIPS-compliant encryption can be enabled and will be used when moving data from on premises to Azure Blob Storage as a staging area