The CLASSPATH Environment Variable is used by java programs to load libraries and classes, much like the Path Variable is used for finding executables. This Adding a directory to your class path will make all .class files in that directory available. Jar Files must be specifically listed in the classpath, they are not added along with their directory.
If you have a Jar File that you only want to use for jEdit, you can add it to $JEDIT_INSTALL_DIR/jars or $USER_HOME/.jedit/jars and it will be loaded automatically.