Hi, Protocol is TCP as I explained MyJDownloader uses http/https as protocol.
Within Webinterface/Android App you can see the current used Connection mode and can try to establish a direct connection (is done by default if possible).
To what mode did you change Direct Connection Mode to?
You need to setup port forwarding from local port (that you specify in JDownloader) to a remote port (that you specify as well in JDownloader). So in the end a TCP Requet to WANIP:RemotePort should be forwarded to LANIP:LocalPort.
Please don't forget to restart JDownloader when you change Mode or any port settings.
I asked to continue via E-Mail because I would have offered a teamviewer session to help you live and faster than chit/chat here