I have turned thousands of commercial Allen screws making oil field J-bolts. I thought they were case hardened alloy similar to 8620. 8620 mock hardens to fairly high strength and yield values so case hardened anything made from 8620 will be hard and tough all the way through. On these J-bolts the ones I made were fairly short so I purchased overly long screws machined the head end then cut them off. Inserts need to be appropriate for hard allow steel. The Op will need some kind of support to make it work. On a few of these specialty Allen drive screws that we made using off the shelf was too difficult and we made them from ETD which did machine easier than the commercial screws. On the threads we turned from the outside towards the shank and never had to brush the threads.
isn't a "J bolt" a piece of threaded rod with one end bent into a "J" shape for anchoring in concrete? those look like jack screws to me.