It is built into J2SE 1.4. It is an optional package for J2SE 1.2 and 1.3. I couldn't find anything stating that it is built into J2EE. Since is seems to be an extension to J2SE, I would assume it's not. That hasn't stopped other packages from being extensions of both.
J2EE 1.4 requires the use of J2SE 1.4... previous versions only required J2SE 1.3. Since JSSE is officially a part of J2SE 1.4, J2EE 1.4 will be the first J2EE Specificiation to officially support it. Enough acronyms already.