What's the transaction setting for the entity bean ? It should also be set to Required.
If it is, then this should not happen.
Update JBoss to 4.0.2 e.g. to see if it still happens in the latest official release.
I use the following in ejb's jbosscmp-jdbc.xml:
to load all attributes in one SELECT.
For more information look at chapter "11.7.3. Read-ahead" in the The JBoss 4 Application Server Guide.