Entity beans survive container crash. Session beans and MDB does not survive container crash. MDB are stateless.
Entity beans are the in memory representation of some row of a table in DB. Even if the server crashes the bean instance dies but the db still contains the data, It can be reloaded from db when the server restarts.
Session beans especially Stateful beans contain the state of the client, if the server crashes the bean dies and the state it held is lost.
Message driven beans do not have any clients and are invoked by the server on a message. Just a single message onMessage is invoked. It cannot hold any state as the server selects bean's instance at random and as there is no client there is no point in holding a particular state.