First the easy part:
... I googled this class and there is source code online I can get but why they did not put it (and many other classes) in the src.zip?
Two reasons:
In the old days when the Java code base was proprietary, this was treated as secret-ish ... and not included in the src.zip. When they relicensed Java 6 under the GPL, they didn't bother to change this. (Don't know why. Ask Oracle.)
Because any code in the sun.* tree is officially "an implementation detail subject to change without notice". If they provided the code directly, it helps customers to ignore that advice. That could lead to more friction / bad press when customer code breaks as a result on an unannounced change to sun.* code.
Where can I find a comprehensive version of source code?
You can find it in the OpenJDK 6 / 7 / 8 repositories and associated download bundles:
Now for the part about "learning Java deeply".
First, I think you are probably going about this learning in a "suboptimal" fashion. Rather than reading the Java class library, I think you should be reading books on java and design patterns and writing code for yourself.
To the specifics:
But URLStreamHandler is a abstract class and method openConnection() is not implement in it so when handler calls this method, it should go to find a subclass who implement this method, right?
At the point that the handler calls than method, it is calling it on an instance of the subclass. So finding the right method is handled by the JVM ... just like any other polymorphic dispatch.
The tricky part is how you got the instance of the sun.net.www.protocol.* handler class. And that happens something like this:
When a URL object is created, it calls getURLStreamHandler(protocol) to obtain a handler instance.
The code for this method looks to see if the handler instance for the protocol already exists and returns that if it does.
Otherwise, it sees if a protocol handler factory exists, and if it does it uses that to create the handler instance. (The protocol handler factory object can be set by an application.)
Otherwise, searches a configurable list of Java packages to find a class whose FQN is package + "." + protocol + "." + "Handler", loads it, and uses reflection to create an instance. (Configuration is via a System property.)
The reference to handler is stored in the URL's handler field, and the URL construction continues.
So, later on, when you call openConnection() on the URL object, the method uses the Handler instance that is specific to the protocol of the URL to create the connection object.
The purpose of this complicated process is to support URL connections for an open-ended set of protocols, to allow applications to provide handlers for new protocols, and to substitute their own handlers for existing protocols, both statically and dynamically. (And the code is more complicated than I've described above because it has to cope with multiple threads.)
This is making use of a number of design patterns (Caches, Adapters, Factory Objects, and so on) together with Java specific stuff such as the system properties and reflection. But if you haven't read about and understood those design patterns, etcetera, you are unlikely to recognize them, and as a result you are likely to find the code totally bamboozling. Hence my advice above: learn the basics first!!
