Did you change that option after you imported those files?
Yes, I changed it after they were imported. Is there any way to unlink?
Right-click (Cmd-click Mac) on the folder in the library and choose to synchronize the folder. I think that will import the JPEG images. You will only see the JPEG images in the previous import. You'll have to go back to the folder in order to see both the DNG and the JPEG.