From what I recall many years ago the ImageMagick developers disabled JPEG 2000 support in the installer packages because of several security issues in the OpenJPEG library (can't find any details as all search engines these days are utterly broken). This situation persisted for many years, and the only (annoying) option was to build ImageMagick from source, with OpenJPEG enabled.

However I just upgraded my system to Linux Mint 22.1 Xia (based on Ubuntu 24.04 noble), which has ImageMagick 6.9.12-98 Q16 x86_64 pre-installed. To my surprise this has JPEG 2000 support again, so if you're on a recent Linux system it might be worth giving this another try.