I'm having the same issue. I've tried a few work arounds using the CayenneEthernet.h and "Cayenne.begin(token, WiFi.localIP(), WiFi.gatewayIP(), WiFi.gatewayIP(), WiFi.subnetMask(), mac);" in my sketch.
It gets to..
 Using static IP
 My IP: 0.0.0.0
 Connecting to arduino.mydevices.com:8442
Then hangs.. Major bummer.. I really would like to use this with the benefit of the wifimanager library. My device is portable and I won't always have a computer to change the SSID and PWD in the sketch every time I'm on a new WIFI network. Defeats the purpose of a portable device, doesn't it?