I'd like to know the answer as well, thanks!
I think the spec only states that Asyncronous exceptions will get reported to the Exception Listner. Example: If you do a receive() and the it throws an Exception, you will not get an exception on the Exception Listner also.
The 3.x Exception listner functionality has worked for me.
I upgrade to JBoss version 3.0.0 and it works just fine.