Interesting... some good news/bad news situation here:
The bad news is that Hello Worl in cobol does not work. The good news (to me) is that it wasn't that different from the one I came up and tried before posting here. Now, the exact issue is that DOS/VS says this at the console:
BG // JOB HELLO ? ? ? DATE 06/18/23,CLOCK 09/53/27 BG C102I? ? ? ?UNSUPPORTED DEVICE TYPE-SYS004 BG 0S02I JOB HELLO? ? CANCELED DUE TO PROGRAM REQUEST BG EOJ HELLO? ?? ? ? ? DATE 06/18/23,CLOCK 09/53/27,DURATION 00/00/00 F1 1Q34I? ? ? BG WAITING FOR WORK
It is very shocking to me that it doesn't work, since, well, it is a DOS/VS as it comes in VM370/CE, and overall and otherwise it behaves as expected... I read a little on those 'problem program' 'labels' SYS00x but, to be honest, it all sounds to me as fascinating as cryptic. No need to mention that the other two programs suffer the same doom, as are laconically cancelled for the very same unsupported TYPE-SYS004 device... quite pesky this DOS/VS guy...