Depending on your PP software, I think you can still benefit from exposing to the right even with JPEGs, as long as you have exposure and contrast sliders, no?
I shoot RAW, but I don’t see any reason why you wouldn’t want to have more data than less.
My guess because I don't know the JPEG compression algorithm but I think as follows.
As part of the JPEG compression it throws away details in area that is too dark or too bright for the eyes to see. In doing so the image would look fine as is but when you lighten or darken the image as requires in the ETTR process you can't reveal the details that has been thrown out.