Maybe just because it's Windows?...

I see what you mean. They fixed the issue with PNGs, but now they've messed up JPEGs.

Option 1: Batch convert all your images to PNG. Renaming them isn't enough in Windows 10. You would need to actually convert them to the PNG format.

Option 2: Find a wallpaper program that will set your wallpaper without any loss of quality.

I use Wallpaper Master Pro Beta, but do note that the free version has a limit of 5000 wallpapers and doesn't support multiple monitors. And if you use that, be sure to set the quality settings.