What application server are you using? I've read that some application servers load their EJB module with a different class loader than the one used to load the WEB module, which might account for why this is failing. I personally use JBoss which I know for a fact will let you use local interfaces in the WEB module that refference the EJB module.
You also might want to make sure you are using the right JNDI name. Most application servers, when the load the EJB, also print out into the logs what the correct local and remote JNDI names are for the bean.
Sorry I couldn't be of more helpful.