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>