It’s ExpressVPN. There is a local option under the Preferences>General tab. It is and has been enabled.
EDIT: It wasn't working before but now it is. I don't know why - perhaps because I turned off ExpressVPN's "Threat Manager" option. Anyway, thanks.
EDIT #2: Update, for those that may search for this problem in the future: Entering in to a headless Mac through remote management and connecting ExpressVPN (perhaps any VPN) will immediately kill the remote management connection. If the option to allow local connections is turned on in ExpressVPN, then you will be able to remote back in after 10 or 20 seconds. If you try to remote in and it doesn't work the first time, try again - it takes a few moments to re-establish.