So, there are two places you can provide a username/password: The JNDI Factory asset is one, but there is also a username/password field on the JMS Generic Connection Factory asset. Depending on the JMS provider, and just because of how the JMS API works, you may have to provider login information in one, the other, or both places.
If you haven't defined a JMS Connection Factory asset then when you execute the JMS Send Receive step it's actually searching through the JNDI tree for a usable JMS Connection Factory on the fly. When it does this it assumes the JMS Connection Factory doesn't need a username/passworrd. If you want to tell it a username/password to use then you will have to define a JMS Connection Factory explicitly.
With ActiveMQ the JNDI name of the JMS Connection Factory is usually just 'ConnectionFactory'. Try defining a JMS Generic Connection Factory Asset with the JNDI name 'ConnectionFactory', your JNDI Context asset, and the username/password you need. The JMS Send Receive step (or the JMS VSE protocol) should pick it up automatically rather than searching/generating its own.