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Great, that rules out the two easiest culprits. Let me clarify the two open items.
On the region thing don't let that alarm you, I don't think it's a misconfiguration on your end. Not every Fabric region runs its own dedicated pipeline "frontend" cluster; smaller/newer regions get mapped to a nearby hub region for this specific backend service, and the pipeline/gateway traffic gets routed there even though your capacity metadata correctly shows France Central everywhere else. So seeing "we" (West Europe) instead of "fr" is very likely just how the France Central capacity resolves for this particular service not evidence that something's misaligned. The practical takeaway: don't chase changing your capacity or gateway region over this. Instead, just explicitly confirm outbound access to we.frontend.clouddatahub.net by name (not just the wildcard rule you think covers it) — sometimes the wildcard entry in the firewall doesn't actually catch every subdomain if it was written narrowly (e.g., matching *.frontend.clouddatahub.net at the wrong depth, or an old rule that only allow-listed the endpoint your org saw at setup time, like eu. or eu2., and never got updated when traffic started resolving to we.).
On point 4 sorry, that one was compressed. What I meant: even when ping/telnet to we.frontend.clouddatahub.net succeed, that only proves TCP/443 connectivity exists — it doesn't prove the actual HTTPS/TLS session the gateway needs goes through cleanly. If your network has any SSL/TLS inspection (a proxy that intercepts and re-signs HTTPS traffic, common in corporate environments), the gateway can fail to validate the certificate chain it gets back, and you'll see exactly this kind of "can't reach X" error even though basic network connectivity is fine. Since you're on a VM, it's worth checking whether that VM's outbound traffic goes through any corporate proxy or firewall appliance that does deep packet inspection on 443 and if so, whether *.frontend.clouddatahub.net (and ideally *.clouddatahub.net more broadly) is on the bypass/exclusion list for that inspection, not just "allowed" at the firewall level.
Given you've already ruled out gateway version and multiple installs, I'd actually check the TLS inspection angle before digging further into region stuff that mismatch between "manual browse to the URL works" and "gateway still fails" is the classic signature of an inspecting proxy, and it lines up with what others have hit on this exact error