This behavior is common in Doctrine2. Doctrine2 considers many-to-many assotiation as abstract relation and does not create the MN entity as other frameworks do. Therefore, the MN entity in the visual model is only virtual, and serves only as a representation of the convence. The entity itself will not be exported.
If you need to add more fields to the MN entity, you will need to simulate it in the ORM Designer as two associations and create the MN entity manually.
If you use some other ORM framework, please, let me know which one.