That's normal behaviour, it uses a java gui that has some options to compile. I usually use an external editor (sublime text) for both java and javascript. The only thing is that you can't open it by double clicking the objects...

I personally use Eclipse to satisfying effect. Adam Murry wrote a great guide for setting up Eclipse for the Max library, and how to configure Max's dynamic class search path.

Though I seem to need to send a "zap" message to the [mxj] object, delete it, then undo in order to refresh it after compiling the new class.