I can see what you mean. In fact, it is different on the Mac. On the Mac, the cursor does not change when there is a drag gesture. (This is specific to the Apple Java implementation.)
When dragging a node, this is not a problem, since you can see the node's representation in the editor window as soon as the cursor enters it. Dragging an edge, though, does not give any visual feedback at all.
Still, if I drag an (ERD) edge template from the palette to a node and release the mouse button, I can see a self-loop edge appear on that node. (It looks like a circle on top of the node.) And moving the mouse, I can see the tip of the edge sticking to it.
[This is on Mac OS X 10.6.8, Java 1.6.0_26 64bit Server VM, and yEd 3.8]