That is strange. Looking at plugin’s code I would say that, if you are using Smart Client, it should work or you should get a dialog or you should at least get an error message/exception.
Please enable Java console window (on windows you can find that in Control panel - Java - Advanced - Show console). Then when you start the client again you should see the java console window. See if you get any messages in there when you try again. (I am hoping we get more info about the reason why it fails… file system permissions problem / certificates / …)
If you don’t see anything in there either you could create a case with a sample solution for further investigation.