The combiner stuff is for fixed function texture tricks. That test is not using shaders at all and you shouldn't need to touch texture combine state stuff for shader effects.
No, there is not much on shaders in our documentation. It's an area of code that is going to get a lot more attention soon, but anything you might want to write up on it in the wiki would be appreciated.
Well, from what I've seen in the example source the API seems easy enough to follow … similar to other I've used. But, it would help NOOBs that haven't been exposed to it.
jME shaders are not some kind of special jME thing… They are just GLSL/ARB shaders so you should be able to find lots of information on the net about syntax and functions, etc.