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;
JPEG file format does not support transparency, it's just not stored in the file.
If you want JPEG with transparency try saving it as JNG file format
(but only a handful of programs can read these).