It would need an extra HTTP request, yes. In practice for the PNG solution, one would be better off with sending the DPI in the request headers, so that the "correct" image is the only one sent.
For JPEG 2000, the network characteristics are important, but I don't think it would be too bad on a mobile network. Low DPI devices might get a bit "too much", but it wouldn't be a problem - they can just throw it out (or incorporate more detail).