Hi, David. The phantom files don't appear on your Mac because the Mac correctly understands the structure of your image files, which like all Mac files have two parts: a data fork and a resource fork. But the PC file system has no idea what a resource fork is and no place to put it, and thus represents it as a separate file from the data fork. In a .jpg file, all the actual information is in the data fork — the resource fork is empty. But it still exists, as an information repository that only a Mac application can use, and so the PC file system represents it as a file even though it's empty.
I strongly suspect that if you could transfer your .jpg files directly from your camera to your frame without going through a Mac, they'd have no resource forks added to them by the Mac file system, and you wouldn't get any phantom files on the frame. But if you don't mind just deleting them from the frame, that's the thing to do.