Correct. The sequences dj hj lj gj are all pronounced as if they were just written j , i.e. with the first letter silent. The exception is Finland Swedish, where the /d/ is audible in dj .
As for why, they used to be pronounced but were eventually lost. Since the written language is conservative, they linger on in writing.
Thanks! I've heard it pronounced in songs though. In "Skönheten och Odjuret (sp?)" - a song that prominently features two daunting concepts in Swedish pronunciation, the d in "odjuret" gets pronounced or elided into an english "j" sound. Is this just because it's in the middle of a word/after a vowel?