Tarek,
at the moment the credentials are used to establish the connection and can not be changed for this. Also the connection is handled transparent (if you do not use the EjbClient API direct and handle it), it will be closed by GC (finalizer) if you remove all references.
The ejb-client (and the server) is optimized for such connections, instead of using multiple connections (AS4/5) only one connection is used and the requests go through the same connection.
Therefor the authentication and behaviour (e.g. threading) are different.
There is a possiblility to have more than one connection and select the connection/user from the app-code, I can provide an example if needed.