The "automatically retrieve Java" portion of the installer has not worked for several years, and even when it did it could not reliably fetch the correct version for one's system architecture (i.e., 32-bit Java vs 64-bit Java).
The foolproof method is to
retrieve Java on your own first, install it, and then install VASSAL.
Note that at the present time, there is no fully-released VASSAL version that will run in anything newer than Java 8. Once the test builds seem like they're panning out that will probably change, but I would strongly recommend using Java 8 for the time being.