I did the same setup on my JBoss 3.2.4 installation on Fedora Core 1 Linux. The JMX Console authentication is working perfectly fine. I'm using Firefox and Konqueror browsers.
That might be an erratic issue on JBoss 3.2.4 but so far I haven't encountered that on my installations.
I repeated the procedure on another machine and ... it worked OK as expected.
I'll close the topic here because it must be a mistake somewhere that doesn't worth the hunt since now it's verified by you also as the correct procedure.
And I'll reproduce the procedure in the machine with problem but with the new 3.2.5 release.