JMonkeyEngine's a very widely used game-engine for Java and is probably one of your best routes to go
if you're certain you want to go down that path.
HomePageI would definitely recommend trying a few simpler things to start of with. If you feel comfortable developing a 2D-Game it should only take you a couple of days or so, which is definitely worth it just to make sure that you're comfortable with the engine and Java.
If you want to start with a game-engine from scratch, the most viable path would probably be to utilise the JOGL library. This has come fairly far over the past few years and should be adequate in performance terms. The JOGL library can be found
here and NeHe's got some fantastic OpenGL tutorials
here. The tutorials are based around C++ but there are ports for most in Java at the bottom of the pages, code structure transfers over to Java fairly nicely, any adaptations needed should be fairly obvious to you if you're competent enough to create an MMO.
In terms of the game itself - I would say that it seems you
are underestimating the difficulty of it. Even to create a simple one you've got many, many things to consider. However, from the looks of it you're fairly set on it so I'd just say to get going with a simple core-model of the game, the world, basic-animations, movement, simple storyline and A.I. Once you've created that, take a look back over it and determine if that model's extendable enough to be turned into a full-fledged MMO, if not - you should have learnt enough in the process to go back to the roots and follow a structured development cycle and get a decent game out of it.
It's not a simple undertaking - but it's certainly fun, good luck with it either way! ;)
Edit :-
Forgot to mention, one of the difficulties with Java is it's inherent lack of solid-networking. Many, many people find that when they try to use Java's standard API for it, they really struggle with managing and producing efficient means of networking. You do however have RuneScape and others, such as the Lineage 2 Emulator - L2J, that have managed to get around that. From my looking at it, you'll need to really develop some solid networking capabilities of your own rather than utilise Java's standard - it may be an annoyance but you'll kick yourself later on if you find it just isn't up to the job.