The Dock is for Applications, Documents, and Folders (which can take several forms). There are some other odd animals that can stay in the Dock, but they were never truly implemented (recent items is one). If you "wrap" the .jar file inside some package that behaves as an application, you can have it stay in the Dock just as any other Application.
A .jar file is not an application, it's a java archive. It is a collection of classes, metadata, etc. which the Java runtime interprets and executes. The Application which runs it shows up in the Dock as the coffee cup, but that is just the runtime engine, not the .jar.
The .jar is like any other document, such as a a word processing document. Just like any document, it can be double-clicked and the handling application will be called to open it. Double-clicking that word processing document causes the word processing application to open the document and interpret its contents. Double-clicking the .jar file causes the java runtime engine to open the .jar file and interpret its contents. Instead of presenting it as paragraphs of text, it displays it as the application it represents.