JPEG is a limited format that cannot support layers, 16 bit/channel or many color modes. Once you change your document to a mode that JPEG does not support, or add something to your document that JPEG cannot support - then Photoshop switches to a file format that can support the data in your document. Photoshop is helping you not lose your data. You can still save as JPEG, or save through SaveForWeb - but that is saving a copy, because some of your document data is lost when saving as JPEG. To save your full document data, you need a file format that can support all the data in your document, such as PSD or PSB.
If you changed the file extension without changing the type of file, then Elements might be confused when opening the file -- because you gave it the incorrect file extension.