This is because you are (probably) using HSQL.
HSQL does not support transaction isolation, so we give you a warning.
For any production system you must use a more production grade database, e.g. mysql, oracle, postgres, db2, sybase etc.
See http://wiki.jboss.org/wiki/Wiki.jsp?page=ConfigJBossMQDB for more info.
Also see http://hsqldb.org/web/hsqlFAQ.html#FAQ
Tim, I think we should have our own explanation page for this on our user wiki http://www.jboss.com/wiki/Wiki.jsp?page=JBossMessaging, since I expect this will be a question that will be asked a lot. Do you want to start it?
OK, sound good, thanks.
I was worried that this might be something that was related to the other problem that I am having (another post with some details shortly).