Bypassing the splash screen won't have any negative effect, but I think it will fail on subsequent calls to its files though.
The only thing it gets for its splash screen is the icon at
http://updater.pala.de/icon48.png
It is used for the splash screen and for the shortcuts. Java Webstart opens local connections to itself to retrieve these files once they are cached. Are you sure the firewall isn't blocking Webstart? Even on local loopback connections? Maybe try to disable it for testing.
You can also try to enable the Java console and see if it displays some more detailed error messages. You can enable it somewhere at System Control -> Programs -> Java.