Once enabling Multi-Factor authentication for a user they're no longer able to run "Test Connection" nor "Retrieve Completed Update Sets". Retrieving remote updates set worked before enabling MFA for the user.
When enabling Multi-Factor authentication it will require more than your username/password to login to the system. It also require the Multi-Factor pin after the username/password. In the remote update set it only use the username/password; hence, it does not include the MFA information for it to fully authenticate.
Create a user which does not have MFA enabled. Use that account information to retrieve your update set.