"The messgaes stay in the conventional JMS-queue."
The JMS Spec only demands that expired messages never be delivered to clients. Expirations in JBM appear to be processed when a client requests messages from the queue/topic. There is no background thread that automatically moves messages to the ExpiryQueue at the moment of expiration. Are the expired messages being delivered to your message clients? I suspect that they will be sent to the ExpiryQueue once a client attempts to pull the message.