Your are evaluating this example using V4.0. In
the current release, V4.2, the result is:
N[j^(-1 - n)*Gamma[1 + n, a*j] which for a=1
is the equivalent of the other results.
You may be interested in upgrading to V4.2.
Customer Service at email@example.com can
help with that.
There are some notes on Integrate at: