You'll only get this error if the classes that are serialized over JMX aren't present at the client side. Instead of using an RMI ClassLoader, you can also just include the classes in your JMX client.
If you're using JConsole, you can start it up like this to add some jars to its classpath (replace the paths to point to your local SDK):
Code:
jconsole -J-Djava.class.path=c:\java\jdk1.6.0_01\lib\jconsole.jar;c:\java\jdk1.6.0_01\lib\tools.jar;c:\path\to\local.jar
That means, always include jconsole.jar and tools.jar and then include your own.