If you use a connection factory with connection load balancing, this means that 
subsequent connections created with that factory will be made to different 
nodes in the cluster, in a round-robin fashion.

Typically with MDBs, you deploy the MDB on every node of the cluster, in a 
homogenous fashion, the MDBs then consume from the local clustered queue which 
you've also deployed on each node in the cluster.

So, you want the MDB on node A to consume from the clustered queue instance on 
node A, and you want the MDB instance on node B to consume from the clustered 
queue instance on node B. I.e. you want each MDB to consume from its local 
queue instance.

If you were to use a connection factory with load balancing = true for the MDB 
on node A to create its connection to the queue, then subsequent connections 
would actually make connections to the queue instance on different nodes, but 
you always want it to connect to the local queue instance to minimise network 
traffic between servers.

That's why it doesn't normally make sense to enable connection load balancing 
for MDBs.

Hope that helps.

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