I have tried it in JBoss 4.0.5 (EJB RC 9+Patch 1) and I have found that all exception classes needs annotation. Inheritance does not work.
JSR 250, 2.1, General Guidelines for Inheritance of Annotations:
Class-level annotations only affect the class they annotate and their members, that is, its methods and fields. They never affect a member declared by a superclass, even if it is not hidden or overridden by the class in question.
Thanks everyone, and Reverend Carlo, for throwing the book at me. :)