The JPEG file format is a lossy file format. This means that in the process of compressing the image, pixels in the image will be changed in order to improve the compression. The HTML Help Image Editor will let you choose how much compression to apply, and therefore, how much the image will be changed. The greater the compression, the more the image is changed from the original.
JPEG only stores images as 24-bits. If you save a 16-color or 256-color image as a JPEG file, the HTML Help Image Editor will automatically convert the image to 24-bits.