Your priority is your daughter. Have a conversation with the other mom about your concerns regarding her daughter- show her the messages and photos that J sends your daughter. If you are really worried, you could involve social services.
Then have a conversation with your daughter about being an emotional hostage. Help her understand that some people-even kids- are manipulative. Even if J isn't manipulative, this is way more than a 12 year can be responsible for. Tell her that the adults are doing everything possible to make sure J is safe- but that ultimately we have no control over what others do.
Tell her that now you are going to focus on her (your daughter) to be sure that she is okay. She is almost 12, so talk with her instead of telling her what to do. Help her make good decisions about how she lets people treat her. Help her understand that we are constantly teaching others how to treat us by what we tolerate. Ask questions that will help her realize on her own that J isn't good for her.
What do you like about J? If you took away the threats of self harm, would you still be friends with J? If this is the way J is going to be for the rest of your friendship- do you really want to deal with that?How do you feel when you are communicating with her? Do you think friends should do that to each other? Do you think it's the responsibility of a 12 year old to keep another 12 year old safe from herself? Or is that the job of adults?
Kids are smart and resiliant- she'll figure this out with you helping her to think through the problem.