glLoadMatrix is generally more performant then multiple JNI native calls that you oncurr with glRotate, glScale and glTransform. It also gives you the opportunity to manipulate the matrices how you see fit using methods other than what GL has integrated in it.
The reason it doesn't have a Matrix class is because it is not a game engine. LWJGL provides an interface to OpenGL and stays true to that. OpenGL takes a pointer to the array of floats representing a matrix, teh equivilant to that in Java is a FloatBuffer (there are reasons for using Buffers and not arrays).
I would suggest you grab vecmath from vecmath.dev.java.net and start experimenting with that.