You are using local transactions which is exactly why you are getting the warning. This has been discussed many different times on this forum.
RequiresNew will not prevent the warning you are seeing either. You are branching the local transaction and as such, your database operations will not rollback if the JMS side of the transaction were to fail. If you want the database to rollback in the even of a JMS related failure, then use Requires instead of RequiresNew on your EJB.
Even in this case however, since you are not using XA, you do not have 100% ACIDic semantics, which is exactly what the warning is telling you.