I've tried to reproduce Ken's problem as well, and can't do so either.
@Javier, "perform eclipse" won't work on a newly-created multi-module web project because the web module (in your case "mercurius-web") has a dependency on some "business" module (in your case "mercurius-codes") that doesn't yet exist in your local repository. So the Eclipse plugin is trying to add to the web module's classpath a JAR file that hasn't even been created yet. This is not a Roo-specific problem; the same thing happens if you quit Roo and type "mvn eclipse:clean eclipse:eclipse" (first making sure that there's not an old copy of the business JAR in your local M2 repository). The solution (as you found) is to ensure that all of your modules' dependencies are available via the Maven artifact resolution mechanism before you run the Eclipse plugin, which in the case of your business modules means that they have already been deployed to your local repository. You can do this per module if you prefer (by running "mvn install" in each one's directory), or you can do it for the whole project (easier but slower) in one line like this:
mvn install eclipse:clean eclipse:eclipse
Or you can use the m2e plugin, which seems to have better and better support for AspectJ each time I use it.