When installing with jems-installer-1.2.0.GA.jar and selecting a standard installation a section is missing in the web.xml file for the jmx-console.war application that causes problems when following the directions given in the getting started documentation.
The web.xml file is missing the login-config section:
<login-config>
<auth-method>BASIC</auth-method>
<realm-name>JBoss JMX Console</realm-name>
</login-config>
Without it, following the instructions in section 2.2.3 will fail with a 403 error and no authentication prompt.