Our apps use the normal Mendix Feedback widget (https://appstore.home.mendix.com/link/app/199/Mendix/Mendix-Feedback-Widget) and we build a little app that retrieves the feedback from the Mendix platform through the API of mendix. These feedbackitems we push to JIRA through REST. In this case you have all the information about the feedback (userroles, screensize etc). Info about the JIRA API is found here
One disadvantage on this way is you can't retrieve the screenshots through the API of Mendix. Already filed a request for that!
There's no built in connector for Jira in Mendix, however, it isn't that hard to create your own. Jira has a fairly easy to use REST API which you can use.
You can take a look at this topic: Topic And with the new modeler it will be easier to implement Rest