EclipseNSIS

I would like this too. Normally, I use the NSIS compiler in Wine without
any problems.
Isn't it possible to integrate EclipseNSIS with Wine?

It is possible to build nsis for Linux, theres a good description of how to
do it at
http://www.xdevsoftware.com/blog/post/How-to-Install-the-Nullsoft-Installer---NSIS-on-Linux-.aspx.
You will also probably need a cross-comiler for Linux - see
http://www.libsdl.org/extras/win32/cross/README.txt for details.

I use NSIS on Linux to build my windows installers, so I have one build
system (ANT) that creates Linux RPM's and Windows .exe's.

What I would like to see is the EclipseNSIS editor plugin available for
the Linux Eclipse eco-system, as as the moment I have to edit the .nsi with
the plain Eclipse text editor, so no syntax highlighting.

There are a couple of issues. The primary one is that makensis only allows
Windows processes to hook into it. i.e., to be able to listen for makensis
events (errors, warnings, output file name, etc.).
The second is that converting it to linux is a potentially huge task and I
just don't have that kind of time to commit to it. However, this is all
open-source, so if you want to give it a shot- go right ahead.
All I ask is that you contribute any code changes back to the project.