A managed code application that uses no native components at all will not check for the existance of a valid license whereas a native code application always does a check.
This tells me that the license is not installed properly on the server.
Open up the Micro Focus License Manager and see what licenses are installed.
Are you trying to run the application directly on the server on which the COBOL Server product is installed or are you trying to run it from a workstation that has its PATH set to point to a network share?
If from a workstation then you need to set this up according to the docs here:
Thanks.