Jaksta configures it's own proxy settings when the monitoring is turned on, which enables the default auto-capture process.
Sometimes VPN's can cause conflicts as they also do their own configuration. We don't have set list of VPN's that do or don't work with Jaksta, but it sounds like yours may not be compatible.
I use one called IPVANish that has always worked and not given me any issues.
Unfortunately the Jaksta proxy settings cannot be adjusted and I don't know enough about VPN's to suggest how to alter the setting to make it work.
You may either need to try and use another VPN or not use one at all whilst using Jaksta.
Sorry I can't be of more help.