I think there is a design issue:

Connecting to a remote server using JMX requires the server to be able to connect back on an arbitrary port. If there is a firewall in between, this won't work as the port is not predictable. (Same issue known from FTP (active type).)
In my use case there are various servers running Java applications to monitor which are located in different computing centres.

It would be a possible solution to run the Java Gateway on the remote server, but currently there is only one Java Gateway that can be configured. It would require to configure a Java Gateway connection per host. Setting up a Zabbix proxy on each server to monitor would maybe a solution, but that is much work, as e.g. I think I read somewhere it requires a database. JMX monitoring should be easier going though, just because of stupid ports.

Related blackboard thread: http://www.zabbix.com/forum/showthread.php?t=27203