Hmm... Think I might know what's happening now. "org.jboss.jms.server.connectionfactory.ConnectionFactory" appears to be part of JBoss Messaging, which - if I understand correctly - is NOT part of JBoss AS 4.2.3 by default. I believe 4.2.3 shipped with old JBossMQ. I'm going to try installing JBoss Messaging and see how that goes.
EDIT: OK, installing JBoss Messaging 1.4.4 resolved this issue. Problem solved.