Intercept HTTP/HTTPS traffic of one application (Windows 10)

You can use Fiddler. Just download and install the CA root cert and you should be good to go.

Helpful information on how to do this -

https://audministrator.wordpress.com/2016/03/21/fiddler-how-to-capture-non-web-browser-traffic/

You might start with something like TCPview to determine the source and destination IPs/ports/protocols. Then you can find and isolate the specific stream in Wireshark to look at the actual packets

https://docs.microsoft.com/en-us/sysinternals/downloads/tcpview https://www.wireshark.org/

You shouldn't need a VM for this approach