Is there a way for a consumer in JMS to automatically send an acknowledgement message to a producer (not only to the server) to notify the reception of a message?
There is no portable, automatic mechanism for a consumer to acknowledge message receipt with the producer. Providing such a mechanism is actually quite difficult because of factors such as time-outs, etc.
The only reliable way to handle producer-consumer communications in which the producer requires acknowledgment is through an application-specific request-reply scenario.
The SonicMQ Programming Guide, available from the Progress/SonicMQ website, discusses this issue. The SonicMQ software distribution provides request-reply examples as well.