This error has multiple possible root causes. It can be JAVA trying to use IPV6 in your machine but ti did not work. It can be an antivirus issue or third party tool blocking the connection.

So first thing you can try to force IPV4 by editing <neoload_install_dir>\bin\NeoLoadGUI.vmoptions file and add a new line with that option: -Djava.net.preferIPv4Stack=true

Then restart NeoLoad and try again.