Based on your problem description and the fact that you're using Java, my guess would be that you're using the built in build system for Java, which looks like this:
"shell_cmd": "javac \"$file\"",
This only compiles the current file, it doesn't run it. As such you're not seeing any output because none is being generated. On the whole Java doesn't really lend itself to single file programs because most programs contain more than one class and every class must be in its own file.
To compile and run a java program your best bet is to use the appropriate tools to manage the build, such as Ant or Maven. There is a built in build system in Sublime that knows how to handle Ant builds, for example.
Failing that you can define your own build system for building and running a single file. Note however that once you proceed in your learning past simple one file programs, it will no longer suffice. You can create a build by using
Tools > Build System > New Build System... from the menu, altering the template, and then saving the file.
The following forum post contains an example of such a build: