My application utilizes an Applet which makes calls to our web application via http/s requests. The recording tool does not appear to capture any of this traffic, even if I set the proxy in the Applet JRE to use the man-in-the-middle capture proxy NeoLoad sets at the browser. Has there been any experience or testing of the product for this?
If when you set the proxy the application is still working and nothing is recorded then i guess the proxy is not used by your application. If you start it running a java command, you could try the two options "-Dhttp.proxyHost=<servername> -Dhttp.proxyPort=8090" where <servername> could be "localhost" if NeoLoad is started on the same machine.
Now maybe your application is not designed to go through a proxy in that case you could try to use the tunnel mode recording in NeoLoad.
Look at the documentation here
Note that if your application is communicating with the server using HTTPS, the recording may not work unless you provide your server certificate. But in that case your application should not work during the recording.