Relevant only for Windows:

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:

• 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/)