I know...I thought the same thing...but everyone loves their .jpgs...I've learned to just live with it...(most of the time I shoot RAW anyway)
It's not like .jpg is more supported where it matters. Let's be honest...who cares if they work in your DVD player? If I can view them on my computer and the printer can print them...then what difference does it make?
I'm sure it's the printer's fault. They probably wouldn't accept a .png...they're really fussy.