Why, when I've shot photos in RAW on my camera, they're saved when tranferred as JPEGs. I'd like to think I can save my hard-won pictures without losing all that good RAW quality. I've read that saving a RAW file as a JPEG is like pouring the contents of a great big bucket into a very small bucket. My camera is a Sony DSCf828.
They aren't. And all your perceptions about saving RAW as JPEG are fair. But PSA SE has no support for RAW, so it doesn't even see these files. It sounds like the camera produces a companion JPEG for each image and that's what you're getting.
Use WIndows Explorer to look at the memory stick. My guess is that the RAW files are still there.