What is wrong with saving transparent PNG to JPEG. There is two images atteched, you will see the problem.

var
  FImage: TMultiImage;
begin
  FImage: TMultiImage.Create;
  FImage.LoadMultiFromFile('c:\2.png');
  FImage.ActiveImage := 0;
  FImage.SaveToFile('c:\a.jpeg);
  FImage.Free;
end;