Make sure PowerServer Web APIs is running and then replay the scripts.
The proxy settings (if any) should be whatever they are when the installable cloud app runs as usual (and the JMeter Proxy is required only when recording scripts, not playing scripts).
If you receive this error when replaying the script: "Session fails to respond (Invalid session)", please double check that the Enable HMAC-based client message authentication option is NOT selected in the project painter > Security page.