Heh none of your are dreaming, JPEG and GIF imports WERE supported, but not anymore.
Reasons are:
1) Since no matter what format of images you used for importing, AGSedit automatically convert them to the same formats (sprites: uncompressed, backgrounds: some lossless compression format), so using JPEG for import WON'T help decreasing the size of the game, and since JPEG images were already lossily compressed, that means they suffer from some amount of detail loss, so JPEG import was removed so not to encourage anybodies to use it.
2) The original GIF importing library used in Room/AGSedit was quite buggy, it's causing damages and crashes and the likely kind of behaviour, so it was latter removed, seeing that it won't hurt without using them, as you can use PCX or BMP anyways.
Reasons are:
1) Since no matter what format of images you used for importing, AGSedit automatically convert them to the same formats (sprites: uncompressed, backgrounds: some lossless compression format), so using JPEG for import WON'T help decreasing the size of the game, and since JPEG images were already lossily compressed, that means they suffer from some amount of detail loss, so JPEG import was removed so not to encourage anybodies to use it.
2) The original GIF importing library used in Room/AGSedit was quite buggy, it's causing damages and crashes and the likely kind of behaviour, so it was latter removed, seeing that it won't hurt without using them, as you can use PCX or BMP anyways.