Juan Cole explores the evidence:
Toward the end of his life he bridged his family's Jehovah's Witness brand of Christianity with a profound interest in Islam. He was all things to all people in part precisely because of his Peter Pan syndrome. A child can grow up to become anything, after all.
Jermaine Jackson explained that it was the experience of touring the Gulf that brought family members into contact with Islam. Interestingly, he found that Islam resolved some dilemmas he had about Jehovah's Witness beliefs. Just as Malcolm X had been converted by his pilgrimage to Mecca from a narrow sectarian folk religion in America to Sunni anti-racist universalism, so Jermaine took a similar path.
We can only speculate about the attractions for Michael Jackson of Islam, but likely his 2005 trial in which he was acquitted of all charges was implicated in his desire for a change. The court psychiatrist confirmed his psychological innocence, saying he had been arrested at the stage of a 10 year old. Michael Jackson was deeply hurt and humiliated by the experience, and his withdrawal to Bahrain and search for a different tradition of spirituality may well have come out of that abasement.
Global Voices posted a round-up of speculation last November.