Resolution:
As of BW 5.6.3:-

1. SOAP Request/Reply exposes JMS User Defined Properties on the inbound and outbound side.

BW 5.7.0:

1). SOAP EventSource exposes Transport Headers for both JMS and HTTP.
2). SOAP EventSource exposes JMS User Defined Properties.
3). SOAP Send Reply allows setting JMS User Defined Properties.
4). SOAP Request/Reply exposes JMS User Defined Properties on the inbound and outbound.
5). Service Resource exposes Transport Headers for both HTTP and JMS.
6). Service Resource exposes JMS User Defined Properties.

There is no support for setting JMS Headers and JMS Properties on the outbound (Invoke partner) operation as of the BW 5.7 release.