Im facing the same problem. WStore is working using LAN, but with GP is not working. Error:" you need to check internet". We have 0.0.0.0/0 through GP.
How did you solve this?
You need to set these settings VIA GP / Or Local policy for testing
Open up gpedit on your local device
Computer Configuration/Administrator Templates/Network/Network Isolation
Enable Subnet Definitions are authoritative
Private Network ranges for Apps Enable
Then add your internal network subnet range IE 10.0.0.0/8
Restart your device and hopefully your windows store is working
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