This rumor started way back in 1999. On the Mancow radio show, Mancow str8 up axed Bret if the MSJ was a work, and if Bret was a mole sent by Vince to destroy WCW. Bret said "That is not a question I can answer at this time". Then he axed him if he was still employed by Vince, and Bret said something cryptic to the effect of "My relationship with his company is in good standing."
At this, Mancow, Turd and Freak all got excited like little boys, and Bret then had to hang up. They were all "So it was fake all along! Wow!". Then they had to go to commercial, and they never mentioned it again.
But, when Bret said all that, it sounded like it was just wishful thinking on his part. You can tell by his tone that he wished that he was just a mole, so he played along with them cats, just for fun.
What the WWF should do now, is start a kayfabe angle where Bret tells the Universe that the MSJ was indeed a work, and he was indeed a mole and he accomplished his mission in destroying WCW. Vince would come out with him and vouch, and the 2 would laugh at WCW, and their masterwork which did it in. Then you hear the Wolfpack howl, and Big Sexy comes out, furious because he worked hard to keep WCW afloat, only for Bret to be destroying it from the inside. And this leads to a Nash/Booker vs Vince/Bret feud.