2306147 - Diagnostics Agent connection error - Unexpected character found ['_' at position XX]

After installing the Diagnostics Agent, it cannot connect to the SAP Host Agent and throws an error:

Not a valid URL: Unexpected character found ['_' at position 11]

When looking into the smdagent_trace.x.trc log, the following error shows up:

[ExRun:OutsideDiscovery_1,5,OutsideDiscovery:ExecTG]##0#0#Error##Java###[HostAgentFacade] Error occured while initializing SAPHostControlInterface proxy facade
[EXCEPTION]
 {0}#1#com.sap.smd.agent.facade.hostagent.HostAgentTrustedConnectionException: Cannot establish connection to SAP Host agent webservice. (Cannot check the version of SAP Host agent cause byURL is malformed http://<host_name>:1128; nested exception is:
    java.net.MalformedURLException: Not a valid URL: Unexpected character found ['_' at position 11])

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hostname, unexpected character "_", Not a valid URL , KBA , SV-SMG-DIA-SRV-AGT , Agent Framework , How To