The question really should be, why do you care? You make something an EJB because it NEEDS to be, not because it's the cool thing to do. Not every object should be an EJB. If your decision is between using session beans that will ONLY be called from the MDB or session beans that will also be called from other external clients through a remote or local interface, then I would say that
you should only use a session bean in the second case.
Also, why must it be either or -- again you should probably only use Session beans as Session Facades anyway -- that means that the choice of using a helper class underlying the Session bean or the Session bean can be deferred as far as you need it -- the only time you would add a Session bean would be in those cases where you need to specify different or additional transactional or security attributes.
Now, if the decision is whether to do DAO's vs. Entity beans -- well, that's another discussion entirely...
Kyle