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What is nvim-lspconfig? Does nvim-lspconfig provide a language server client? Do I need it to use neovim's LSP?

No, nvim-lspconfig include none of the language server client implementation. It only includes:

• launching a language server when a matching filetype is detected
• Sending the correct initialization options and settings (these are two separate things in the LSP specification) during launch
• attaching new buffers you open to the currently active language server

You can use the built-in language server client without nvim-lspconfig, you'll just have to write out the server configuration and start/attach clients to buffers manually (see :help lsp).

Why do I have to install nvim-jdtls/nvim-metals if I have nvim-lspconfig installed already? (or vice versa)

nvim-lspconfig (and neovim core) do not provide any support for custom extensions to the LSP specification. Many servers go "off-spec" and add their own functionality, which requires custom handlers. Language server specific plugins like nvim-jdtls and nvim-metals can be safely installed alongside nvim-lspconfig, and you should prefer those for their respective servers.