The same occurs using the JTDS Driver (jtds-1.2-dist.zip).
I found this article on the web, which shed some light on the problem. Seems like a bug (aka feature) of SQL Server.
This might also be of interest
It seesm pretty clear to be isolated to SQL Server, so not strickly speaking related to this forum. Yet in the context of EJB3 this poses a (significant) limitation. The freedom achieved with EJB3 entities is restricted and this is a problem which should be relevant to this forum.