This should hardly come as a surprise to anyone, but earlier this week Microsoft turned the plug on support for older protocol versions service-side and going forward only TLS 1.2 will be supported. This in turn means that any older clients that do not use TLS 1.2 will not be able to connect to the service anymore and download policy files.
The Azure Information Protection client has supported TLS 1.2 for few years now, so if you are running a recent version of it, you are all set. In case you are running an older version, 1.4 or lower, you are advised to update to newer one.
Since there is some confusion around version numbers as well, the “1.4” version referenced above is the one released back in 2017, which should really be referred to as 1.04 (1.04.x.x). The newer versions that have similar naming schema represent the “40” and above version, as in 1.4x.x.x. Those include version 22.214.171.124 released back in April and version 126.96.36.199, released in November 2018. If you are on one of those versions, there’s nothing to worry about!