My co-worker is trying to get this upvoted on Safe's ideas page.
Vote Here:
https://community.safe.com/s/idea/0874Q000000TlEoQAK/detail
Quote:
The current writer for JPG exports a WLD file. It would be useful to have it be an option to export JPW files.
Some of ESRI applications do not recognize files with extension .WLD as a world file and it causes the need to use, for example, "FileCopy" writer to "move" created .WLD file to to the world file with appropriate file extension.
The world file with file extension .WLD is is a text file containing control points that describe a coordinate transformation. It is used for CAD datasets and usually have different format than the world files described above.
Vote Here:
https://community.safe.com/s/idea/0874Q000000TlEoQAK/detail