When Non-Persistent machines are used and the image has been syspreped, relying on VMWare Customisation to finalise the build, you may find that the option to Check for and download new configurations at startup doesn't work.
However once the machine is booted up and make it's second poll, the machine successfully polls the Management Server and the config is installed without any issues.
This can be caused if you are using Windows Authentication on the Management Server. This is due to the machine not being a member of the domain start up and as such doesn't have any Domain Credentials to present to the Management server.
Once the VM has started up, the VMWare customisation has taken place, joining it to the domain and allowing it to correctly authorise when it polls for the second time.
To mitigate this issue, please either use Anonymous Authentication within the Management Server or bake a config into your image that will handle any Computer Startup actions you need to use.