A review of the SMSPXE.log showed several errors:
cannot connect with winhttp; 80070057
Failed to get information for MP; , 80070057
PXE::MP_InitializeTransport failed; 0×80004005
PXE::MP_LookupDevice failed; 0×80004005
A review of the Distribution Point properties showed that the DP was configured with a self-signed certificate. This is not supported for PXE, you need to use a PKI certificate in order for PXE to work.
After swapping the certificate, the SMSPXE log showed the validation of the Certificate and PXE immediately started working.