Sorry for getting to this so late. The COMP_NAME field is being generated by the XDoclet template in the EJB XDoclet module. Thus the modification of this attribute would be handled by some xdoclet configuration. Currently there is no way to customize this COMP_NAME attribute. However, there is an open request over at XDoclet to do just this.
http://opensource.atlassian.com/projects/xdoclet/browse/XDT-627
So, once the xdodlet guys add this, we will integrate their new version and MyEclipse will get this new feature as well.