bsf.createProxyClass() currently uses Janino via org.rexxla.bsf.engines.rexx.ProxiedJavaClassTool.java, which fails to find the RexxProxy class when compiling, if working on "javafx.application.Application". This problem exists also with the latest version (3.0.6) of Janino and needs further inspection.
This was a class loader issue. javafx.application.Application on Java 1.8/8 uses a confining class loader, which cannot see outside classes. Just using the Janino's default class loader.