Why aren't the PNGs converted to JPEGs even when I choose this option?
PNGs won't be converted to JPEGs even if you choose to do so because of mainly 3 reasons:
1) the resulting JPEG will be bigger than the optimized PNG. In that case the PNG version of the image will be kept.
Please note that this happens usually with small (up to 50KB) PNG files which are smaller than their JPEG versions.
2) the original PNG contains even a single transparent pixel.
3) there are some PHP functions missing from your server installation (GD library is not installed) and then ShortPixel will silently fail to convert a PNG image to JPEG.
4) the original PNGs are big and converting them to JPEGs requires more memory than it is available so the operation fails. This usually happens on websites hosted on shared hosting plans.