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So the fix for me was that I had to reissue the client cert(?) on the XG appliance's screen.
No matter what, it wouldn't connect. It just kept resetting the connection until I reset the cert on the Sophos XG appliance. I don't have it in front of me, and I don't recall the exact screen, but after you login, I believe you go to the "Device Settings" and in there, there's an option to reset the cert. Once I did that, everything worked great.
Thinking about it some more, I did pull my bios battery at one point so I'm guessing that the cert date was wrong as I'm guessing it sets expiration based on BIOS time initially, and was presenting a cert that Chrome/Firefox/IE/Edge (I tried them all) didn't accept. There are things that make this unlikely too, but I wasn't curious enough to re-image my XG again, and see if I could duplicate.
Just throwing this out there as I hadn't seen anyone raise this as a fix.