Would this be in response to a question such as "so how is he?" without context it seems strange in English
Yes. Also could be an answer to "How are you?/Hogy vagy?"
So unlike in English, no comma is required here?
No, in this case is no comma required.
"Sajnos nincs jól" is also accepted.
Can you replace jol with jo? Or does the grammar conflict?
No, you can't. Because 'jól' is an adverb, but 'jó' is a verb. So it would mean '... I'm not good.'
I believe jó is an adjective (good) whereas jól is an adverb (well).
Does this mean the exact same thing as "Unfortunately he is not well"?
"Sajnos nem jó vágyok" why am i wrong?