BlueJ is has idiosyncracies like everything else. One is that the parsing of the class to generate the class diagram seems to be line oriented so if you do this:
public class Oval
extends BoundedShape
{
}
then BlueJ won't see that it should draw an inheritance arrow. See http://courses.cs.vt.edu/~cs1705/Fall03/notes/ for the original tutorial that that snippet comes from.
You must instead write:
public class Oval extends BoundedShape
{
}