In your session report, you will see reference to BMA (Backup Media Agent) and either VBDA (Volume Backup Disk Agent) or VEPABAR. What you need to be looking at is the hostnames associated with each. If they are different, you are backing up over the LAN.
You need to have it so that BMA and VBDA are referencing the same hostname. This means that you either have to create a new logical device, or preferably, enable MultiPathing on your device, using the same hostname as your disk agent. In your Backup specification, use this hostname as the 'Preferred Host' when selecting your device
This may mean that you have to add a Media Agent component to your VM from the Client context