It is true that there is no "Edit in..." entry for Non-Microsoft
programs. That's because SharePoint isn't aware of them. If you look
at the DocIcons.xml file you will note that there is an extra .dll
referenced for MS Office programs. This is used by the New button to
allow SharePoint to start up these programs and load files into them.
Since a .dll doesn't exist for other programs (unless you build or buy
one) they can't be used on the New button and won't show up with an
"Edit in..." entry.

However, even in 2003 you should be able to simply click on the document
name and have SharePoint offer to download it. If you then click the
Open button on the dialog it should open the app and display the
document. This is all dependent on the MIME settings of your browser,
not SharePoint. Whether the application can save directly back to
SharePoint is dependent on the application, and not SharePoint. It
depends on whether the application sees Web folders as a valid place to
save files.

Although most non-office  apps won't have an "Edit in..." entry you can
still open and save them without having to upload them. Check out would
be a manual process. This is the same as it was in SPS 2003. It's more
of a training issue than a problem with the technology.