JPEG XL bitstreams always have a defined color space, optionally described by an embeded ICC profile. They are a part of bitstreams instead of containers [1] because they are considered necessary to reproduce the exact output. When converting from file formats with an ambiguous color space (e.g. PNG without color space information) cjxl assumes sRGB as far as I know; you can give any display color space to djxl.
[1] A JPEG XL file can be a minimal bitstream or an ISOBMFF container, where the latter can contain the actual bitstream and additional metadata like Exif. The bitstream itself should be enough for decoding.
[1] A JPEG XL file can be a minimal bitstream or an ISOBMFF container, where the latter can contain the actual bitstream and additional metadata like Exif. The bitstream itself should be enough for decoding.