During a New Chat Session, the agent can grab a chat. However, when the "Auto-Open Chat Activity" is set, a window loads that displays an error stating that the USD "can't reach this page".
This is a known issue with USD which is documented on the MSDN Blog.
To resolve this issue the easiest solution is to simply turn on protected mode for the Intranet zone, within "Internet Settings"
Alternaitvely the following URLs can be added to the Restriced Zone List, which has Protected Mode turned ON by default: