The HornetQ documentation says:
HornetQ can also be deployed in JBoss AS 5. It is not currently shipped by default with the application server (it is scheduled to be shipped as default JMS provider in JBoss Application Server 6.0), so you will need to create new AS 5 profiles to run AS 5 with HornetQ. ... As in AS 4, it is not shipped by default with the application server, so you will need to create new AS 4 profiles to run AS 4 with HornetQ.
So HornetQ is either available as part of JBoss Application Server 6+, or as a standalone server that you can point an AS to. To get HornetQ as your JMS, you're going to need to be running your JBoss ESB install on top of JBoss AS 6 or higher, or to install HornetQ as a standalone server.
So it looks like the answer to your question is "no, it's not part of JBoss ESB, you need to explicitly install it."