Do a jar tvf on your war file to make sure that the jboss-web.xml is there and in the right place. You could also do a jar xvf and look at the actaul files and make sure you what you think is in there actually is.
Is it also possible that your browser is quitely logging you in without you knowing. You could have a simple page that calls getUserPrincipal() on the request and see if it is set...
Thanks. Looked inside war file and did indeed find that jboss-web.xml was missing, I have updated my Ant build script and now all is working fine.