My observations were completely wrong, sorry for that.
I simulated the database unavailability by pulling the network cable of the WinXP machine where JBoss was running. This does obviously not only make the remote database unavailable, but also take down local networking, so the JMS clients lost connection to the provider even though running on the same machine.
Is that because Windows does not have a loopback network device like Linux/Unix? Anyway - irrelevant question to this forum.