Java-specific regular expression testing program [closed]
I don't know any specific desktop program that does it, but I personally am using this website which offers most of the stuff you're looking for (apart from the explanations).
I'd at least give it a look - great program in my opinion. Offers all the important flags, several different strings to test and prints out the java string of the given RE (so not manually inserting \ wherever it's necessary!)
If it doesn't need to be Java-specific, use Regex Coach. I use it for Java expressions and haven't run into a problem yet.