First, 'well its not even java.lang.String' statement is not quite correct. Plain String name comes from type alias defined in Predef object:
type String = java.lang.String
and insides of Predef are imported in every Scala source, hence you use String instead of full java.lang.String, but in fact they are the same.
java.lang.String is very special class treated by JVM in special way. As @pagoda_5b said, it is declared as final, it is not possible to extend it (and this is good in fact), so Scala library provides a wrapper (RichString) with additional operations and an implicit conversion String -> RichString available by default.
However, there is slightly different situation with Integer, Character, Boolean etc. You see, even though String is treated specially by JVM, it still a plain class whose instances are plain objects. Semantically it is not different from, say, List class.
There is another situation with primitive types. Java int, char, boolean types are not classes, and values of these types are not objects. But Scala is fully object-oriented language, there are no primitive types. It would be possible to use java.lang.{Integer,Boolean,...} everywhere where you need corresponding types, but this would be awfully inefficient because of boxing.
Because of this Scala needed a way to present Java primitive types in object-oriented setting, and so scala.{Int,Boolean,...} classes were introduced. These types are treated specially via Scala compiler - scalac generates code working with primitives when it encounters one of these classes. They also extend AnyVal class, which prevents you from using null as a value for these types. This approach solves the problem with efficiency, leaves java.lang.{Integer,Boolean,...} classes available where you really need boxing, and also provides elegant way to use primitives of another host system (e.g. .NET runtime).