FYI for those who are struggling with "Failed to Connect" under "Software Update" after installing / uninstalling Conky on Zorin OS 16.2. Thought this was worth a share as I have seen some users post about similar issues over several forums.
I had a similar issue with Code being returned in Terminal:
My fix was simply going to "Software Updater" and under "Other Software" Tab - look for the above and click "Remove".
Refresh Cache and updater should work without the "Failed to Connect" message. No need for reboot (this isn't Windows 
).
Try the above only if the below Terminal Commands have been used already as per other blogging posts here on Zorin OS.
sudo apt-get remove conky
sudo apt-get remove --auto-remove conky
sudo apt-get purge conky
sudo apt-get purge --auto-remove conky
Thought the above will help. Shout if you need guidance with the above. I will edit/better this topic should it require me to do so.
Cheers all! 