JPEG2000 MrSID support is only available with the version 5.x or newer DSDK and ESDK.
Georeferencing information can come from different sources : internal (GeoJP2 or GMLJP2 boxes), worldfile .j2w/.wld sidecar files, or PAM (Persitant Auxiliary metadata) .aux.xml sidecar files. By default, information is fetched in following order (first listed is the most prioritary): PAM, GeoJP2, GMLJP2, WORLDFILE.
Starting with GDAL 2.2, the allowed sources and their priority order can be changed with the GDAL_GEOREF_SOURCES configuration option (or GEOREF_SOURCES open option) whose value is a comma-separated list of the following keywords : PAM, GEOJP2, GMLJP2, INTERNAL (shortcut for GEOJP2,GMLJP2), WORLDFILE, NONE. First mentioned sources are the most prioritary over the next ones. A non mentioned source will be ignored.
For example setting it to "WORLDFILE,PAM,INTERNAL" will make a geotransformation matrix from a potential worldfile prioritary over PAM or internal JP2 boxes. Setting it to "PAM,WORLDFILE,GEOJP2" will use the mentioned sources and ignore GMLJP2 boxes.
<?xml version="1.0"?>
<Jp2Profile version="1.0">
<Header>
<name>Default</name>
<description>LizardTech preferred settings (20051216)</description>
</Header>
<Codestream>
<layers>
8
</layers>
<levels>
99
</levels>
<tileSize>
0 0
</tileSize>
<progressionOrder>
RPCL
</progressionOrder>
<codeblockSize>
64 64
</codeblockSize>
<pltMarkers>
true
</pltMarkers>
<wavelet97>
false
</wavelet97>
<precinctSize>
256 256
</precinctSize>
</Codestream>
</Jp2Profile>