I am presuming that you have followed the wiki link for Custom Principals as outlined here:
Ensure that you have the latest version of JBoss AS (which would have the most recent EJB3 implementation). After this, if you can reproduce the issue with a JUnit Test, then you can file a JIRA issue for the EJB3 team to take a look at.
I'm sorry, I hadn't added a CallerPrincipal group to the role sets.
It works now.
Thanks very much.