The water jet has very very tiny Sand particles in the water. If you go into a place with a water jet you will see pallets of sand. It uses a very high pressure (approx 60 000psi) to push the sand and water through a very small hole in a nozzle. The water/sand creates that weird edge because it is essentially sanding it's way through the metal.
It's because water jetting doesn't rely on the water to cut, but rather the abrasive that is mixed in with the water. This means you'll get a more dull and speckled edge instead of the shiny edge like you would from an endmill or chop saw blade that relies on a sharp cutting edge.