I always create my application.xml files by hand, but I agree that the IDE should be able to do that for you. But this is the EJB3 forum and the only answer you will get here is "create the application.xml" file. Therefore, an Eclipse forum is really the best place to ask about the workings on Eclipse.
the "New EAR project" wizard of Eclipse/WTP provides in step 3 an option "Generate Deployment Descriptor". Check this to create an application.xml.
I think there is also a context menu option in the "Project Explorer" tree to add this file afterwards.