Recently after having upgrade to a 4K HDR compatible projector I had a new problem with playing content from HBO via the HBO Max app on Playstation 4.
It only affected 4K content it seemed, other content was fine, but when attempting to play the high quality content there would be a long loading circle animating and stopping. After about 10-15 seconds one would get a screen saying No Internet Connection like this:

Ended up contacting this to HBO Max support and after much back and forth the issue was escalated to technician. The technician suggested turning off PS4’s HDR feature in the PS4 video settings… and that fixed it, at least in terms of getting the content to play.
Seems like HBO Max doesn’t support HDR content on PS4, and communicates it via the No Internet Connection error screen, which is obviously and unfortunately false when all other content works.
Here is HBO Max’s list of HDR supported clients
Hope this posts saves you the effort of reaching out to HBO Max’s otherwise lovely but slow-process customer service, and gets you watching right away.