I have tested the link you provided and was able to download the video (without using a proxy), but it did have a problem when converting and resulted in a tiny, unplayable file.
That being said, I was able to watch the downloaded file (pre-conversion - it saves both) in VLC, so the download at least is successful. I then forced the conversion by using the 'Convert (Safe)' feature in Jaksta, which then gave me a playable file.
So it seems that the site (or at the very least the video you provided) still work with Jaksta, so maybe just try it without altering your proxy settings.
An alternative backup option is to get Jaksta Screen Recorder and use that to capture the video off the display, but ideally you should not need to go that far.