Interesting! This is the first time I've seen the ConnectionTest fail. There is a 5-second timeout on connecting, which you seem to be hitting somehow.
Are you still seeing the same thing? If yes, could you press Windows+R, type 'cmd' (without the ' ), hit enter, then type 'ping gamemakerserver.com' in the command prompt that appears, hit enter once again and post a screenshot of the output you get from that as well?