Every Message System I know is the same in regard to the resource adapter / pooled connection factories. You are not really complaining about HornetQ here, you are complaining about the integration between a message system and an application server, which I agree is confusing.. but this is not our "exclusive feature". Since that is true that JMS 2.0 has raised concerns about better integrating jms20 on JEE.
Having said that: MDBs are also not part of HornetQ. They are part of the application server, hence you have to configure the pooled connection factories outside of HornetQ. (which is what you did at jms-ds.xml)
Hope that clarifies it.
I will also add this comment to your blog.
The section on hornetq-jms.xml, about the connection factory configurations and how it (doesn't) apply to MDBs is a good point. And I agree, from a developers/users point of view, it's confusing. I'm not too sure if it's possible to simplify this in some way.
By the way, in AS7, most of this is changing - the configuration part. The goal is to make the entire configurations (not just JMS) simpler and more meaningful.
So feel free to try out the latest AS7 upstream (the http://community.jboss.org/wiki/JBossAS7FAQ has more details on how to get started) and let us know if you have any feedback.