I've just hit this behavior now, and I believe it a bug.

EJB method interceptions are handled by EJB container in other cases (like noted in comment in SessionBeanInjectionTarget.

For MDBs it means, that message listener interceptors gets invoked twice – once by EJB container, and then again by CDI. I'm seeing this behavior in Payara, but I'll yet check if I can reproduce that on Wildfly.