What Java runtime are you using? When you open the live applet, there should be a java icon in the lower right corner. Right click on that and it will say "Open xxxx Java Console" where "xxxx" will be the version of the Java Runtime you are using. That applies to Windows only. Apple uses their own version of Java, so hard telling what's going on there.
Probably best to send a support ticket. We can post results if more people are having this issue.