IBM was supports J2EE 1.2 and MDB (but perhaps not EJB QL) is a part of J2EE 1.3. Thus the lack of support. However I think IBM WAS new version is going to support MDB.
Actually WSAD does support a version of EJB QL, it is modified for EJB 1.1 and WebSphere. If you have the product you can do a search in the Help Perspective for "EJB Query Language" for details. Steve