At the moment jpeg.dll is part of java_awt_core.zip but it is often not needed by small application/applets.
It is only used if jpeg images are involved.

In the past plugin and other tools were using jpegs internally but these images were converted to png/other formats to save space. I.e. jpeg.dll seems to be not needed by deployment code anymore.

Some numbers based on builds by Margarita Fisher
(jpeg.dll was moved to separate bundle jpeg.zip):

Original size of java_awt_core.zip: 1243256
New size of java_awt_core.zip: 1171793
Size of jpeg.zip: 71679

I.e. total size of 2 new bundles is 1243472 and this is only 216 bytes more than original size.
However, for applications/applets without jpeg images download size will decrease by 70k.

Margarita's experiments confirmed that jpeg.zip is not loaded on typical test applets.
It was loaded by SwingSet but SwingSet includes bunch of jpeg images. So it is expected.