I had the same problem. The shudown.jar of jboss 3.0.6 can't do shutdown to jboss server.
My solution was replace the shutdown.jar of jboss3.0.6 by the same file of jboss3.0.4 and funtions normallly.
shutdown -u username -p password
where username and password can be anything so long as u have not assigned username/password to the jmx-console.