I can tell you that the particular permission that is lacking is RuntimePermission("createClassLoader"), but I don't have any familiarity with web start applications.
You might try posting the question to the Messaging Forum at http://www.jboss.com/index.html?module=bb&op=viewforum&f=48.
lol, they suggested I post the question here. I was able to figure the whole class loader issue out. I also had to add this permission for things to work, although it could be a messaging related issue:
permission java.net.SocketPermission "*", "connect, accept, resolve";
Thanks for the help.
Sorry for the infinite loop. :-)