You can define the jamb with the Is under jambs feature on the exterior veneer. By marking its feature under the jamb, it extends the exterior veneer element to the window/door space under the jamb element. If it is not marked, it finishes the exterior veneer on the edge of the jamb, surrounding the jamb.

Location of Is Under Jambs Feature

You can access the feature is under jambs from the exterior veneer settings dialog.

When is under jambs not active

When is under jambs active