org.jenkinsci.plugins.scriptsecurity.sandbox.RejectedAccessException: Scripts not permitted to use method java.net.URL openStream
I found /var/lib/jenkins/scriptApproval.xml file with the following excerpt:
An administrator may now go to Manage Jenkins » In-process Script Approval where a list of scripts pending approval will be shown. Assuming nothing dangerous-looking is being requested, just click Approve to let the script be run henceforth.