JBossMessaging will store the messages to the db, to separate the different cluster members there is the ServerPeerId (you must set for each instance).
You might have different DB instances for each JBoss instance, but that will not be a cluster (as I understand).
The persistent data is not shared, e.g. JMS failover. You also do not want to have different application data DB right!?
Normally we install the DB on a different system as the JBoss instances.
The drawback is the network traffic and latency, but it is less. Also you separate the JBoss instances (e.g. blade systems )