Installed CNG, tried using and got an error "The requested operation is not supported. 0x80090029 (-2146893783 NTE_NOT_SUPPORTED)

Well, this certainly looks scary and is a typical less than helpful Microsoft error message.

What is the happening here?

Glad you asked!  This is an issue where the command issued by the user does not have permission to write to a directory on the machine.  This could be due to Active Directory, the permissions on the directory, or the permissions of the current user.

How do I fix?

Great question!  Rather simple really.  When setting up the CNG client with FortanixKMSClientConfig.exe, a choice has to be made between "Machine" and "User"

Whichever one was initially selected, try the other!

FortanixKMSClientConfig.exe machine --api-endpoint https://amer.smartkey.io 

FortanixKMSClientConfig.exe machine --api-key API_KEY_HERE

What if User AND Machine do not work? 

That is a conundrum!  In that case, please open a ticket with Fortanix Customer Success and we'll help ya figure out a workaround.