Don’t trust the preview
The export preview is just there for convenience*. You'll noticed that if you create additional exports for the same asset, there's still just one preview.
Pixel view is your friend
If you want to see the non-vector degradation, just switch on
Show pixels on Zoom (aka Ctrl + P). Now switch to 100% zoom and you'll see your work in all it's pixelated glory.
Sketch assumes you're building interface assets, not retouching your girlfriend's lazy eye. It's geared toward png. If you want to see how bad the jpg compression is, you'll need to export and check it in a browser or your favorite image viewer.
* You can actually drag the export from that thumbnail to a folder if you want.