None of JP processors have rexx bundled with them, but there are two excellent ones out there: Regina.rexx (which is classic rexx), and OORexx (object orientated rexx). You have to install one of these, or at least extract the various executables. Lua seems to be the first bundled processor, but you wonder why they don't just provide a lua interface, eg (tcc.wildspec) and let people download their own lua?
You need at a minimum, regina.dll and regina.exe, but there are other DLLs worth getting, such as Patrick McPhee's W32UTIL and SYSUTILS (now in regina). Documentation is in PDF, but quite servicable. (I use a windows IPF viewer, and the DOSREXX.INF from PC-DOS 7 for my needs.
I use regina rexx. Once this is installed, and 'assoc .rex' gives a decent answer, you can indeed do things like add .REX to the PATHEXT environment, or `set .rex=regina.exe`. It even works (gosh), if you put .REX in the string built into cmd.exe. But you have to provide your own rexx processor!
EXTPROC works with rexx scripts. The example in the 4NT.HLP file suggests that there is an EXE file processing it, but you can use a grotty REXX script to do it. This means, for example, that ye can write up a line-processing calculator, and have nice formatted documents with calculations from a rough list of names and equations.
REXX was IBM's glue language, and all command processors were supposed to be able to run batch files written in REXX. This is why you see .CMD and .BAT files designed to run REXX if they start /*. It's a nice language, but don't expect to do anything stupid like calculating the array suffix in place (ie T =P.(X-1) does not work, but Y=X-1; T=P.Y gives the right answer.)