As SF stated Jest is independent of Salesforce and doesn't run in web browser. Is it mandatory to write coverage/unit testing for Lightning Web Components and add in bundle while creating manage package using Jest specially for AppExchange app? Do security review ask for this?
Jest is necessary for unit testing your lightning web components. There is no hard requirement today to have unit tests for lightning components unlike apex unit tests.
Also jest tests for lwc has no relation to security of your app .Hence it's not mandatory to have jest tests for your web components when you submit to security review .