I know this is an old message ... but in case someone is searching for the solution:
If you change the store of the messages to MySql, you may have taken the example mysql-persistence-service.xml from the docs directory and changed the DefaultDS to e.g. MySqlDS. The JMSUserManager also points to the new DataSource (MySqlDS) and creates the default entries.
If you forget to change messaging-jboss-beans.xml which contains the definition of the LoginModule which then still points to the old DefaultDS you will get this error because the
unauthenticatedIdentityis not found in the local HSQLDB which is still running on DefaultDS.
Change this reference to the new MySqlDS and you are up and running.