Hi there, welcome to the forums. A couple of ideas - make sure that you are using RGB PDs, rather than CMYK. ArtRage supports 8-bit per channel PSDs, probably not the problem, but worth mentioning.
I haven't seen this problem with jpeg files before. Are you perhaps importing them from a camera? I'm wondering if there's something unusual about the files which may not have been taken into account. It sounds like you're using the import function for both which is definitely the right away to go about it, rather than trying to directly open the files.
Get in touch with me at firstname.lastname@example.org and let me know your operating system and version, basic computer specs if you can. If you can send me a screenshot of the jpg result and one of the jpg files you're having problems with as well as the PSD this will help us to check it out for you.