If I recall correctly, it was called JScript because it wasn't actually fully compatible and because it had extended stuff - there was a JScript host for Windows scripting at one point, and there was talk about using it for ASP instead of VBScript. I'm not sure if that was ever actually implemented. Also I suspect Microsoft wanted to have their own branding.
Visual J++ on the other hand was because Sun sued them over a Java implementation which wasn't actually compatible with Java, and misuse of the trademark, and all that kind of thing, so Microsoft weren't allowed to call it Java anymore. This ultimately led to the development of C#, so it was probably for the good in the long term, apart from some of the bits they copied from Java in what was presumably an attempt to make it more a direct alternative.
Visual J++ on the other hand was because Sun sued them over a Java implementation which wasn't actually compatible with Java, and misuse of the trademark, and all that kind of thing, so Microsoft weren't allowed to call it Java anymore. This ultimately led to the development of C#, so it was probably for the good in the long term, apart from some of the bits they copied from Java in what was presumably an attempt to make it more a direct alternative.