Java doesn't have to be AppLinked.. But the application needing Java needs to somehow execute in the environment of your packaged Java. So creating that Entry Point to local IE is a valid option. You should investigate what was wrong with the test you did.. Should work out of the box..
This post might help you out:
http://blogs.vmware.com/thinapp/2010/02/data-containers-entry-points-and-dats---oh-my.html