well I think that version of plasmacam can import BMP or DXF
JPG is a raster format, it can easily be converted to BMP (with external software), then imported in plasmacam, but then it has to be traced or converted into vectors, and hopefully the image is really big, really clean, and drawn right for plasma cutting
EPS and AI are traditional desktop publishing vector formats, which can be converted directly to DXF (with external software), then imported into plasmacam, without having to trace or convert to vectors, which is easier provided it is drawn right for plasma cutting
but there are various ways to convert from EPS/AI to DXF, depending on what software is used and what DXF version is used, and how the target program interprets that DXF version can lead to different results from different software/dxf-version combinations
if the EPS/AI is good quality bezier curves, you can use a good quality vector program (like corel draw) to convert to DXF version 2000 or later (with splines in place of bezier curves) and as far as I know plasmacam can open that without any problems
if the EPS/AI is not good quality, or if an earlier DXF version is used, then curves might be a billion tiny line segments, which might or might not work without problems, but probably won't work as well as the aforementioned bezier/spline composition
most all of my downloads are ZIP files that include EPS format which you can experiment with, and mine tend to be reasonably well drawn for plasma cutting (except for scale which is arbitrary), but some EPS/AI file providers don't know what they're doing, so buyer beware...
you should be skeptical about anyone selling a JPG file for plasma cutting