I am running Eclipse on a Red Hat desktop that appears on Windows as a result of running a Red Hat VM under virtualization software (Oracle VirtualBox) on Windows. This desktop is equivalent to the desktop that would be displayed on a physical monitor connected to a physical machine running Red Hat.
When I run the hello-world program, the application output window appears in a way similar to how it appears when Eclipse is run on Windows, that is, it appears as a separate window on the desktop. On the Red Hat desktop, the application output window is an instance of xterm.
In your setup, to see the Eclipse window itself, on Windows I assume you are running X-server software such as ViewNow. In the environment on Red Hat in which you invoke Eclipse, I assume you have a DISPLAY environment variable pointing to your X-server on Windows. I would assume the xterm application output window would have access to the same DISPLAY environment variable.
OK, yes now I see that you have discovered that xterm was not installed on your Red Hat system. The Release Notes for Visual COBOL do have a small note about this; they say:
• Xterm, the terminal emulator for the X Window System, is part of your UNIX/Linux distribution but is not
installed by default. Use your UNIX/Linux installation media to install it.
I do not remember having to install xterm on my Red Hat machine, but I am running Red Hat 7.1.