The DVR is not capturing the original stream, it capturing the rendered video and this can only be captured to WMV as this is native and therefore fastest for this type of capturing.
To change the DVR's capture size see the Settings > DVR > Request Best Output Size. Please read the tooltips about these settings as this will affect the performance of your machine and the quality that can be captured.
If the original stream is being captured by JMR as mpg then it is more than likely HLS protocol - not all HLS streams can be dumped directly into an MP4 container without codec conversion, hence the default formats for HLS capture in JMR are mpg and TS.
You can auto convert it afterward if you want it in mp4 using the built in converter.
You will get better quality letting JMR capture the original stream than using the DVR. The DVR should only be used where the original stream is encrypted (we can't legally decrypt encrypted streams).