Unless you're going to set up a non-commercial fan site, owning a celebrity domain name is risky. Many celebrities are winning back their domains under UDRP claims etc. I'm sure we'd see the same results under INDRP cases as well.
In my opinion, if a domain name is simply trading off the goodwill of a celebrity, that celebrity deserves to win the domain from the domain owner.
Don't see any risk with MJ association, since you have chosen to expand it as For Michael Jackson and visitors would get to know that only when they visit the site, the name fmj doesn't give any clue or relationship with MJ. Domain name containing initials of celebrity would not fall under TM / or patent violation.
However fmjsoft / fmjonline and other fmj variants may come up to stake claim (if they have anything patented ... )