Hey Bruce,
So I think I've narrowed it down. I think it's a conflict between IPv6 being enabled and when a "VPN client" is active.
I tested these combinations:
(note that in the global VPN options, the options area all toggled OFF)
IPv4 Only + VPN Client = No DDNS error.
IPv4 + IPv6 = No DDNS error.
IPv4 + IPv6 + VPN Client = DDNS error
My guess is that when the VPN Client is active, the DDNS check is checking over the IPv6 address only and gets no response.
I would say it's probably a cosmetic error only because even with VPN client active, the DDNS address still works.
For now I've just went ahead and disabled IPv6 on the router.