BMP screenshots are generally just easier to implement - BMP is just set of pixels with color values taken directly from the I/O buffer and jpeg requires compression to be implemented into the game engine.
At least I haven't seen an option for JPEG yet. If you want jpegs use FRAPS or some other 3rd party screenshot captor.
Edited by pavelcherepanskyrwb17_ESO on April 20, 2014 4:05AM
"Do you want the book or not? Then go whack some people with Wabbajack!!"