Hi, what model iPhone and version of iOS are you using? Screenshots are not a camera function and therefore changing Camera app settings has no effect on screenshots. Please follow this path,
iPhone > Settings > General> Screen Capture > Format > HDR or SDR. HDR will save as HEIF and SDR will save as PNG.
JPEG is not currently an option. H.264 is not an option either. Video will be saved as HDR or SDR and in HEVC HDR10 or HEVC respectively. HEVC is the only option currently.
This is not Apple Support. Apple and Apple Support do not participate in the communities here. They only moderate our posts to ensure all user guidelines are followed in regard to content and user behavior. Your comments will not be reviewed by Apple. Apple may make changes based partially on the feedback they receive through their official channel, linked below.
Product Feedback - Apple
Apple typically does not formally reply to feature requests such as yours.