On JCA connection (i.e. connection where you used the PooledConnectionFactory) you are supposed to create one Session only per connection. That is part of the EE specification. (It has always been).
This is because these connections are pooled and it would be impossible to put them back on the pool if you were using more than one session per connection.
If you switch for non pooled connection factories (the ones that are meant for remote clients) you would have it working the way you wanted but then you would miss pooling from the application server. EE components are usually short lived and opening / closing JMS Connections (any connection to be more precise) it's an expensive operation.