Please see the note at https://docs.microsoft.com/en-us/mem/configmgr/osd/deploy-use/create-a-task-sequence-to-upgrade-an-o...
for a description of how to achieve this:
> "When you deploy the task sequence, you can also select the option of No deployment package for the feature update. When clients run the task sequence, they download the feature update from peers or the Microsoft cloud."
Whether or not the client systems are on the Internet or connecting via a CMG is not relevant for this.
If this matches your configuration and you are still having issues, please open a support case.