My application is a stand-alone Swing client invoking EJB Stateless Session beans thanks to classical JNDI lookup and RMI-IIOP method calls. It is started as a Java WebStart
Since you didn't specifically mentioned in steps you followed, have you configured your sas.client.props as in the client setup link you have provided?
You may check RedBook Implementing Kerberos in a WebSphere Application Server Environment for examples on how to make this configuration, as well as remaining configuration for Application Client.
Section 13.5 (13.5 Configuring the Java EE application client) gives examples for setting up your thick client runtime, including sas.client.props file.