Currently, Visual COBOL for Eclipse does not provide direct support for COBOL J2EE projects but it is possible to create simple web services running under Tomcat using the Web Tools Project (WTP)
J2EE web service support is a roadmap requirement for a future version of Visual COBOL.
In theory, it may still be possible to do this today but you would have to set everything up manually. This includes adding the J2EE API jars to the project classpath and creating an ant file which will bundle up the appropriate classes into jars, wars, etc. After doing this they are just plain Java classes and it will work just like Java.
There are some modules such as the COBOL file handler which are currently not managed code, so this might be an issue for you also when running in an Application Server environment.
Again, this is also part of the product roadmap for a future release of Visual COBOL.