In my opinion a VM would be much better. The my.jdownloader.org really sucks. It's super buggy and fails or loses the connection. You are forced to use their online services and can't host it locally (there are third party softwares that can use the jdownloader protocol to remote control it locally, but these clients are also buggy...). Not great for anonymity as the machine you use to control your jdownloader is also linked to the IP that is downloading, as both IPs need to access my.jdownloader.org. And the machine you control it with is probably also used to access your social media, so really easy to link the downloading IP to your actual name and phone number that you probably registered on your name. So using VPNs and so one won't add any additional privacy. It is really laggy and horrible to use.
You will get a way better experience with a Linux VM with a desktop environment and SPICE as remote desktop.