What version of the Glassfish MQ broker are you running? If it is older than Glassfish v3 you will see messages like this.
The message is really just a debug message, produced when the client connects to the broker. The messages are logged as as part of the standard negotiation between the MQ client and the MQ broker during which they decide decide what protocol level they should use for communications. Unfortunately it is logged as a warning, which is inappropriate.
You can't supress these messages without disabling warning messages, which I would not recommend.
This annoys me too. I'll see what I can do to get this fixed in Glassfish 3.1.