Hi, Rob.
I have had an issue with file sequences not linking after I save the project, shut AE and open the project again. Sequences go missing. I've had this happen with .png, .exr and .pic sequences. I haven't tested .jpg, but they weren't useful without the alpha channel. I'm not sure if what you're experiencing is tied to the same bug I've experienced, but I thought I'd bring it up.
-Bill