Cointegration and imposing AR terms
Johansen cointegration will usually yield more than one cointegrating vectors (cointegration regression coefficients). By definition, for a cointegrating vector, residuals must be stationary. And a stationary process can take any stationary ARMA form. So, adding AR term is cheating. What you shall do is to test for stationarity of residuals obtianed from cointegration vector. I do not mean to be rude, but you must be doing something wrong. Perhaps, your original variables are not I(1), or you need to include a determinsitc or stationary trend in your stationarity test, and the like. Just for comparison purposes, how do your Johansen results compare to Engel-Granger test. This might shed some light.
Best,