What a JPG file actually is
JPEG has been the default photographic format since 1992. It divides the image into 8×8 blocks and discards the high-frequency detail within each one, which is why it compresses photographs so well and why hard edges and flat colour — screenshots, logos, text — pick up the smeared halos known as ringing artifacts.
Almost every camera, scanner and non-Apple phone writes JPG, and it is what a website will hand you when you save an image. If a file came from somewhere and you have no idea what produced it, JPG is the safe bet.
What you get from ICO
ICO is a container that holds one or more small square images, with transparency, for use as an icon. It caps out at 256×256 — anything larger has to be scaled down, and the format is not intended for general pictures.
Every browser requests /favicon.ico by default, with no HTML required, and Windows uses ICO for application and shortcut icons. It is a narrow format that is completely reliable inside its niche.
What changes when you convert JPG to ICO
An icon is being built here, not a picture converted. The JPG is decoded, scaled to fit within 256×256 and stored losslessly inside the ICO container — so whatever compression artifacts the original carried are preserved faithfully, then shrunk to the point where nobody will ever see them. Detail is lost to the scaling, which is the intended outcome.
There is no transparency to preserve — JPG files do not carry an alpha channel, so every pixel is opaque to begin with. Converting to a format that supports transparency does not create any; it only means you could add it later in an editor.
ICO cannot exceed 256×256, so anything larger is scaled down to fit while keeping its aspect ratio. Work from a square source if you can — a wide image gets letterboxed into the square, and fine detail disappears entirely at the 16-pixel size a browser tab actually renders.
A JPEG is an awkward icon source because it cannot carry transparency, so the icon arrives with whatever background the photo had, as a solid square. For a logo on white that is often fine; for anything meant to sit on a coloured toolbar it is not, and the background needs removing first.