Hi,
According to your description, my understanding is that it failed to enable remote access on WHS 2011 with error “An error occurred while setting up your domain name. The domain name was not set up for your server. Wait a few minutes and run the wizard again.”.
Make sure your ISP does not block port 80(http), or 443(https).
Try to change it to a complex enough password of your Microsoft Account(Windows Live account), then, try to configure the Wizard again. Also, check to see if related email is sent to your Microsoft Account mail.
When you surf to the server site what you type in the url must match what the cert says for remote desktop gateway to work.
Hope this helps and please help to accept as Answer if the response is useful.
Best Regards,
Carl