This article is relevant for Windows and Apple/Mac users:

Windows users

If you get an error during the installation that the installer cannot connect to the internet, or if you get asked to enter proxy settings although you usually connect directly to the internet, please check of these "potentially unwanted adware" tools are installed and remove them:

• RelevantKnowledge
• PremierOpinion
  

After uninstalling these tools via the Windows Add/remove software panel, the JDownloader installer will work fine.
(More details: https://malwaretips.com/blogs/remove-premieropinion/ )
You can also use tools like AdwCleaner to remove such adware. This is not an ad! You can remove AdwCleaner itself after running it once to remove adware!

Apple/Mac users

Check if iCloud Private Relay is active.
If so, disable it and re-run the JDownloader installation.We are still trying to find the cause of the problem/why it fails with enabled Private Relay.