The PNG format is fine and support lossless data compression.
I see no benefits to use the JPEG format.
Well, I have an explanation for this:
Example: Flyers. When you download flyers from ArcadeFlyers (thousands of them) they are all in JPG format already. If you begin converting them one by one in PNG, it would take forever and the resulting files would be much larger. Unless you know a tool that make the conversion automatically, with no quality loss and no big difference in size. Then I would ask you to point it to me asap please
Another example: Picures you collect around the internet (Cabinets, marquees, CPOs, etc...) are all in JPG too.
See what I mean? When you have just a few games, you can convert it easily, but when you are talking about thousands of files, it makes sense to let them in their original format (jpeg). Much more spreaded than PNG and if well done, the compression loss is really insignificant.