Create an RMI server using code like the following:
        MBeanServer server = ManagementFactory.getPlatformMBeanServer();
        LocateRegistry.createRegistry(9589);
        JMXServiceURL addr = new JMXServiceURL("rmi", null, 0, "/jndi/rmi://localhost:9589/jmx");
        RMIConnectorServer cs = new RMIConnectorServer(addr, env);
        ObjectName name = new ObjectName("connector:type=cserver,name=mycserver");
        server.registerMBean(cs, name);
        cs.start();

Then run jconsole using a URL like this:
    jconsole service:jmx:rmi://localhost/jndi/rmi://localhost:9589/jmx

The MBean Server you see is not the one created above.

This is a regression, because JConsole from JDK 5.0 does the right thing. The bug is in JConsole, because if you create a connection programmatically using the same URL it works correctly.

This problem was reported on the SDN JMX forum by Robin Merckx and Erik Vaneylen; see <http://forum.java.sun.com/thread.jspa?messageID=9569129>.