It seems that Swing ignores JButton.setMargin. Is that your finding?
Is this a bug or is there some excuse for it?

Here is my workaround - using a compound border to get the margin.

public class JEButton extends JButton {
   /**
    * constructor
    *
    * @param text string to label the JButton
    */
   public JEButton( String text )
       {
       super( text );
       this.setFocusPainted( false );
       this.setBorder( border );
       this.setFont( new Font( "Dialog", Font.BOLD, 16 ) );
       // set margin does not work.

       // Leave foreground and background alone to get gradient.
       // Client should do a setToolTip, possibly a requestFocus
       }

   private static final Border border;

   static
       {
       final Border innerBorder =
               BorderFactory.createEmptyBorder( 2, 5, 2, 5 );
       final Border outerBorder =
BorderFactory.createRaisedBevelBorder();
       border = BorderFactory.createCompoundBorder( outerBorder,
innerBorder );
       }