All Java environments implement a security manager that determines what operations may be dangerous for an applet to perform, and can allow or disallow these actions as it sees fit. The biggest restriction that most security managers implement with respect to GO-Joe, is that an applet is allowed to connect only to the host which served that applet. This means that, for example, if you have such a security manager, your GO-Joe applet will only be able to connect to go-login running on the server that the applet was loaded from. In addition, the diagfile functionality of GO-Joe is similarly restricted.
The exact exception that this generates is dependent on the Java environment in question, but it may appear similar to this message (from a Netscape browser):
security.AppletSecurityExceptionsecurity: Couldn't connect to 'x_host' with origin 'web_server_host'.
If your browser supports it (such as some versions of HotJava), you may be able to relax the behavior of the security manager to allow these connections.