Phil Willoughby of IBM dropped me a line.  Phil apparently works on the XMS stuff, I'm guessing out of IBM's Hursley lab.  Phil sez:

Re: http://blogs.msdn.com/dotnetinterop/archive/2005/11/04/488770.aspx

FYI, XMS can be used to connect directly to the WebSphere App Server embedded JMS system. There is no requirement to have WebSphere MQ, WebSphere Message Broker or WebSphere Business Integration Event Broker installed. Of course, if you're using another vendor's app server you would need to use WMQ or one of the brokers to bridge the gap.

Mark Phillips' developerworks article does a good job of explaining this:

http://www-128.ibm.com/developerworks/websphere/library/techarticles/0509_phillips/0509_phillips.html

Hey, that's good to know!   One more way to connect...