i can put a .jpg as my start button.. you just have to manually input .jpg at the end.. i tried it and it works..
and jpegs CAN have transparency AND animations..
But i wouldnt recommend adding them to the filter for the simple fact that:
1. though it can have transparency and animation, its not particularly easy with most software to add it.
2. its one of the more used formats, and allowing jpegs through the filter may make finding the button harder than its worth
3. most people dont know jpgs can have tranparency..