I am testing the .jp2 you provided and will let you know if I can address the issue or find any other details, bugs, etc.
In the meantime I do have a thought/suggestion: if you download the color photo imagery for the same location as a DEM, then once you load all of them you can use "Center on object or shader" in the right-click menu of the 3D preview to move the camera to where the DEM is (it doesn't work with Geog Image Map shaders unfortunately, hence this technique). You want to do this *without* offsetting the georef to 0,0,0. Your camera may end up inside the planet, but try to see if you can move and reorient it so you see the loaded DEM, and then you should hopefully see the JP2 on top of it. That's assuming it's loading correctly, of course. The thing about these images is they cover only a few km, so they could be *very* hard to find on the whole planet without some kind of reference/starting point like this.
- Oshyan