Make sure the runner has access to https://api.github.com
The runner needs to access https://api.github.com to download any actions from the marketplace.
Even the runner is configured to GitHub Enterprise Server, the runner can still download actions from GitHub.com with [GitHub Connect](https://docs.github.com/en/enterprise-server@2.22/admin/github-actions/enabling-automatic-access-to-githubcom-actions-using-github-connect)