I also use
Jaksta for Mac and have the same issue as the OP. I can record, for example, a YouTube video using the software, but if I access the same page through a VPN, Jaksta will not download the video. (Not that I want to use it for YouTube, that's just an example).
I wrote to the developer about this back in May, this is the reply from their technical support:
"At this time, unfortunately Jaksta cannot support VPNs at this stage. The networking side is complex and often different for each VPN product. This will be something that the developers will work on/out in the future.
Sorry for any inconvenience."