You can use widgets in your album whether it's hosted on jalbum.net or on your own web host. But each of the following steps must be taken:
The skin you have chosen must support widgets. On the skins page - https://jalbum.net/skins/new - check the box labeled jAlbum widget support to see only those skins that support widgets. Or visit the page of the skin you are using, and see if jAlbum widget support is listed in the Features section below the skin description.
You must enable widget support in the album project settings - see Album > Settings > Advanced > Metadata > Include jAlbum widget support.
You must choose the specific widgets you want to use - see Album > Settings > Widgets.
The album must be listed on your profile page on jalbum.net - there must be a thumbnail for it, no matter where the album is actually hosted. This is the "bucket" that jAlbum uses to keep track of things like the visitor counter and visitor comments. The album listing can still be hidden from visitors to your profile page if you like, but it must be present.
If you are using jalbum.net hosting and are using the built-in jAlbum uploader, the profile page listing occurs automatically.
If you are using another web host, but are using the built-in jAlbum uploader, the profile page listing occurs automatically, but only if you are signed in to the application, i.e., signed in to the desktop application itself - see the upper right corner. (Being signed in to this website is irrelevant.)
If you are using another web host, are using the jAlbum uploader but are not signed in, or are using an external FTP client program like FileZilla, you will have to add the album to your profile page manually. On your profile page, choose the Albums tab:
Then click Add external album:
Provide the full, absolute URL to the location of the album. You can also choose a thumbnail image for it, an album title, and an album description at this time.