Try running client JVM with -Duser.language=en -Duser.region=US -Duser.country=US
options.
This would switch to everywhere-supported US locale.
Maybe this easy solution would be acceptable in your case. At least, this would reveal if the problem is in lack of i18n messages resource bundle for current locale in jtds package, as I guess.
Update
Try to just copy jtds.jar/net/sourceforge/jtds/jdbc/Messages.properties
and add it to classpath or right inside jtds.jar as net/sourceforge/jtds/jdbc/Messages_sr_RS.properties
.
Some explaining links:
Message bundle choosing process
net.sourceforge.jtds.jdbc.Messages source
http://www.localeplanet.com/java/sr-RS/
Update 2
Message bundle choosing process should switch to default provided resource anyway. My second guess is that Messages.properties of jtds package gets eclipsed by some unrelated file with the same name. Check your classpath.
You should be able to debug net.sourceforge.jtds.jdbc.Messages
in order to find what's happening on for sure.