You might take a look at
(Install)
or
[Build JME Engine from github sources]
or
[Video : JMonkey with gradle]
As others already mentioned, you might be setting up it in a very strange way.
The SDK is Netbeans with lots of nice GUI tools (is similar to the Unity or Unreal editor). The jME SDK is not the jME engine. It is a modified Netbeans IDE that uses the jME engine.
You can also use the source of jME directly (with Eclipse or pure Netbeans or IntelliJ or other tool).
The jME SDK is also nice to prepare assets (like 3d models or terrains) for your game project - so it’s SDK(Netbeans) to make assets game-ready and Eclipse or IntelliJ or other tool for Java coding - if used in this combination.
I advice you to read the links I posted and follow a standard way. That might not only lead to less confusion but also to quicker answers in the forum - since then you can state which standard way of using jME you do.
