A DNG is a Raw file. A JPEG is not.
So yes, by design.
You can do a batch conversion of JPEGs after the import: Select all the JPEGs and do Library > Convert Photos to DNG... I imagine it's been omitted from import because few people want to do that (though I've seen at least one request).
I have read that there are reasons I would want to convert my camera's JPG files to DNG for processing
What are those reasons? There could be other ways to accomplish the same ends within LR.
Here is the article I found the information about why you would want to convert JPG to DNG: John Nack on Adobe : Converting JPEG to DNG
I realize now that it is an old article - from 2007 - so the information may have changed now, but it kind of makes sense that DNG can act as a package for the multiple sets of editing you might do to a file. If this isn't the case anymore, or if other methods have evolved to replace this capability, then I'd like to know so I can design a workflow process in Lightroom for my camera-created JPG files.
Interesting, that explains why Adobe has provided that ability. But I'm not sure there are specific use-cases that would make it all that useful to most users. Nack himself says at the end of the article,
It’s not something I think everyone should run out and do. (I haven’t found a need to do it myself.)
True, I just thought that maybe to enable future features that Adobe might add to the format (or might have already added since 2007), that it might make sense.
As non-destructive editing capabilities grow, the DNG format has the architecture required to grow with those capabilities regardless of the source format.
Thanks for the feedback.