Obviously, yes, alas... Looks like they have been left on the side when the syntax has been updated to Java 5 syntax. Perhaps because of complexity of the syntax, I don't know. Actually, they are partially recognized: the ENUM_DEF suggests this, also the fact than enum is highlighted in the PDE, and moreover, the message is actually a warning, it doesn't prevent from running the sketch. Unless you are trying to use the enum, in which case you get an error on unrecognized type... Perhaps they can be added within a .java file, but that's a bit impractical.
Curiously, there is no issue opened on this problem in the project.
I thought it was considered best practice to place enums in a separate file, as Thomas suggested. So doing so is no major hardship. Certainly I've used them in libraries to good effect. See quarks below for a better example, but see how easily it is done, using the TabManager tool? In my example the enum is Liquid, in a file Liquid.java.