If you've recently upgraded your Mac to the latest macOS version, you may encounter issues connecting to it.
When this happens, try to switch from Remote Management to Screen Sharing (or vice-versa).
You can then switch back to Remote Management afterwards but make sure that Observe and Control are enabled under Options...
... and that the Mac user is allowed to connect via the Remote Management service.
It appears that the Remote Management/Screen Sharing service needs a reset after upgrading macOS because something went wrong during the process.