On the agent look exactly in the two files I mentioned (icinga2.conf and zones.conf) As far es I remember the agent installer Powershell script not uses the zones.conf, so you should find the zone configurations directly in icinga2.conf.
If this is a proof of concept, you should switch to the icinga powershell framework, as its the new way of deploying agents on Windows and I’am pretty sure the director powershellscript you are using will be deprecated in a while.
For me it looks like that the master is not trying to connect to the agent, or can’t reach host = “xxx.xxx.xxx.xxx” over port 5665.