Hmm, maybe Windows Firewall is blocking JJ2? You can double check this by entering wf.msc from any Windows command/explorer and see if JJ2(+) is allowed in both incoming and outbound. In standard settings all outbound traffic is allowed, yet all incoming is blocked unless explicitly allowed by prompt.

Under normal circumstances, getting the serverlist and joining servers will work fine on any connection, but playing online or hosting a server at least requires inbound traffic from 10052 UDP to be forwarded to your client. 10052 TCP usually works unforwarded, but forwarding it won't hurt of course.