In the standalone case, what's causing destroy to be called? If you're shutting down the VM then it's most likely the shutdown hook that's calling it during JVM shutdown, at which point the thread that you started will also be terminated as part of the VM's shutdown processing.
In the dm Server case destroy is being called as part of closing the application context for the bundle. This happens as part of the bundle's stop processing. During this shutdown there's nothing in place to stop the thread that your bean started.
To ensure that this works reliably, and without having to rely upon VM shutdown, I would recommend that, in your bean's destroy method, you update a flag that's frequently checked by MyThread to tell it to stop running.