I've been following the code to see how this is meant to work, and here's what I see:
1) @Resource injections are resolved relative to the component ENC.
2) Component ENC is created relative to a default InitialContext (i.e. non-HA JNDI) unless a set of JNDI properties are provided via the deployment. If they are provided, the InitialContext uses those properties.
3) Those properties come via a call to interface org.jboss.ejb3.DeploymentUnit.getJndiProperties().
and now the sad part...
4) The JBoss 4.x impl of DeploymentUnit just returns null from getJndiProperties(), as do 2 out of the 3 impls in the AS 5 codebase. :(
Suggest you search the EJB3 JIRA to see if there is any existing issue related to getting this implemented. If not, open a forum thread on the EJB3 forum to help drive getting a JIRA opened for it.