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I was not able to check the ticket mentioned, so I've asked again to Support. Here is the summary of the answer.
.- Java Applet at user browser requires a standard Java agent and will connect to port 8090 of Controller as usual, so it must be open.
.- EUM does not have nothing to do with Java Applets loaded in user browser, at least by default. Perhaps it will show the loading of the static content (the applet code downloaded), but nothing else. But because in my case the applet opens its own HTTP/S connection here the EUM should see (I SUPPOSE) both things, browser requests and Java Applet requests.
.- To start Java Web Start application with the agent (i.e. for Java Applet at user browser),set environment variable JAVAWS_VM_ARGS: JAVAWS_VM_ARGS=-javaagent:<path to javaagent.jar>
.- If necessary, specify other VM options too: JAVAWS_VM_ARGS=-javaagent:<path to javaagent.jar> <other VM options>
.- Other option is to add -javaagent entry in jnlp file as follows under resources element:<resources> <j2se version java-vm-args="-javaagent:<AppServerAgent_dir> /javaagent.jar" />...
.- You can also try using the environment variable JAVA_TOOL_OPTIONS="-javaagent:/path/to/javaagent.jar" as mentioned in http://www.oracle.com/technetwork/java/javase/envvars-138887.html#gbmsy
.- If you have proxy between agent and controller network you can add proxy specific jvm args referred in below doc: https://docs.appdynamics.com/display/PRO42/Java+Agent+Configuration+Properties#JavaAgentConfiguratio...
I hope this helps everybody!