After some time debugging with the java client (see my other answer), I noticed that the SOAPUI Endpoint was not using the 9443 port that I was using in the Java client. See the image below.
The 8243 port was picked up from the WSDL by SOAPUI.
When I changed the SOAP UI Endpoint port from 8243 to 9443, the JSESSIONID gets returned in the response, as seen below:
HTTP/1.1 200 OK
Set-Cookie: JSESSIONID=573D42750DE6C0A287E1582239EB5847; Path=/; Secure; HttpOnly
Content-Type: text/xml;charset=UTF-8
Transfer-Encoding: chunked
Date: Wed, 26 Jun 2013 22:14:20 GMT
Server: WSO2 Carbon Server
<?xml version='1.0' encoding='UTF-8'?><soapenv:Envelope xmlns:soapenv="http://schemas.xmlsoap.org/soap/envelope/"><soapenv:Body><ns:loginResponse xmlns:ns="http://authentication.services.core.carbon.wso2.org"><ns:return>true</ns:return></ns:loginResponse></soapenv:Body></soapenv:Envelope>
I have no idea what the difference is between the ports 8243 and 9443, or why one returns a JSESSIONID and the other doesn't.