I think I have experienced exactly what you are describing. It first appeared for me when I was pregnant with my son seven years ago and trying to fast walk/jog. My thighs and sides would start to prickle and itch so bad I would have to run to the bathroom, rip down my pants and scratch my legs until they looked like they had welts. Once it happened, it seemed to happen whenever I did any sort of running activity (not step or anything else). I told my Dr. and he said it could very well be due to increased blood flow, which can itch. However, after the pregnancy it continued to happen whenever I tried to jog. I am able to jog and run now because I deliberately fought through it to the point that it subsided. My thoughts are that it is from the increased blood flow circulating in your muscles during an intense, high impact workout. I was able to overcome it by walking, then slow jogging, then increasing my pace over time. Make sense? I'm not sure how to prevent it with other activities (like Cathe cardio) except to cut out the jumping and see if the itching doesn't appear, and then gradually add the higher impact stuff, stopping if the prickling happens, and then trying it again.
HTH,
Kelly