Not familar with that camera, but my guess is that when you shoot in the jpg format (do you have options?) you have the choice whether or not to have EXIF data included with the image file. EXIF data is the record of the exposure, time, date, type of lens, etc. Different camera provide a range of this information.
So when the camera is telling you "EXIF" it may be informing you that this information is also being supplied.
What program would you be using to convert from jpg to anything else?
JPG is what's called a "Lossy" format because the method it uses to compress image files throws away some of the data. Just how much is thrown away depends on a lot of factors, but the single most important is the level of compression--usually a scale of 1 to 12, with 12 retaining the most data.
This happens because the way JPG accomplishes compression primarily is by looking at areas of the image which have similar pixels, throwing a bunch of them away and just using simpler replacement pixels. (This is quite simplified, non techno-speak).
In practice, if you save a jpg as the highest level (12) after you have made some changes, you can do so a good number of times before you will notice any degradation in your prints or on your screen.
This compression mechanism kicks in each time you open a JPG, make any change, and save it again. The compression is cumulative.
Still, data lost is data lost. So, if you want to avoid this loss you should save in "Lossless" formats, such as TIFF, Photoshop, PDF, etc. But these formats will take up more space, may not be as easily opened on other computers. Everything is a trade-off.
I note that you said you are working on copies. If you are archiving the original image files, I wouldn't worry about the copies, just use the format which is best for your current use of the image.
JPGs are the accepted norm on the internet--just remember that an online image does not need to be at any higher resolution than 72ppi. Also keep in mind, however, that once you have changed an image to that low resolution, there's no going back to a higher resolution, suitable for printing.
That's why you will find yourself having multiple copies of images for varying purposes. but you should always try to keep a pristine original file tucked away and work with copies of it.
I could go on & on, but perhaps this will help. Probably it will just cause you to have more questions.
