Mike is out on vacation.
You need to put your URL to the media file in PowerPress's "Media URL" setting. The Media redirect URL goes in the PowerPress Settings > "Services and Stats" tab, media URL redirect field. The reason they are separate is in the event you want to stop using the redirect, your "Media URL" is still correct. When the Statistics redirect is implemented in PowerPress Settings, PowerPress applies it to all your media URLs. It's basically just good practice.