PNG, JPG, and GIF are supported for local. It's strange the web option is not working for you though. If you don't mind, could you share a screenshot of the e621 settings?
Viewing post in Virtual Master: Edge Trainer comments
huh... I mean if MaxLoad is set to something above zero that should be working unless the search tags actually just give back 0 results. you should be able to copy paste your tag list there to the actual site to check that. in theory Ctrl+C works in the games text boxes. I know Ctrl+V does.
The fetching process just uses basic http requests to communicate with the E6 API and build a list of URLs to the image files. It doesn't actually download the images until they are needed, and it uses the time between stop/go transitions to prep the next image, as in as soon as a new image gets displayed it starts downloading the next image, loading it into mem and generating the mip maps, so the transition should be seamless even on slow hardware.