The Hg4J project is a pure Java re-implementation of Mercurial — it does not require any other Mercurial installation. However, it's still a young project and the version 0.1.0 release only supports read-only operations.
You're correct that JavaHg requires a Mercurial installation. I'm one of the authors and we wrote it like that since it's the officially recommended way to interact with a Mercurial repository from another language. We get all the benefits of new Mercurial versions for free and we have a full read/write API.
I agree that a pure Java version is interesting and I wish the Hg4J project good luck. But I also hope it isn't too difficult to install Mercurial to use JavaHg.