All clients I’ve checked so far are experiencing this issue. The clients are running on Windows 7 Professional x64 SP1, and there’s no difference if the client is using 12.1 RU1 or 12.1 RU1 MP1.
The management server is version 12.1 RU1 MP1 and is running on Windows Server 2008 R2 SP1.
There’s no problem enabling Download Insight manually using the Fix button after the rest of the features are enabled, but I would of course prefer if it was enabled automatically.
One interesting thing is that if I enable SEP manually using the shield’s context menu before SEP is policy enabled automatically after three minutes, Download Insight is also enabled and works perfectly.