How do you KNOW your jpeg is srgb? You using maya 2011?
See the error of thinking can happen at many levels. It can happen in your texturing stage, it can happen in your render tuning stage, or it can happen in your compositing stage. Just because you tell the computer data to be something doesnt mean it IS in that space, it just means the computer will think it is. Its your job to make sure it really is.
forcing them to be interpreted as srgb give me back what i should see.
Well that can just indicate thet you havent configured nuke to show you the colorspace properly. Likewise it can indicate that you have by mistake made your scenes or anywhaere down the line on the presumption that what you see is correct, even if it was not.
totally understand the formats in compositing but i don't get them in maya.
Err either you dont get them at all or you get them both. However you might get them in way thats technically worng but happens to work out for you while your in the comp end, because the material youve used has allways ben flagged correct.
srgb give me back what i should see.
Err.. is that should see or what you expected to see. Heres the thing, if you TOUGHT wrong going in maya your thinking wrong here too.
See exr is not necceserily linear, its literery whats put into it, see nothing says I cant flag data as linear and still pour nonlinear stuff into it. Also a jpeg can be linear no problems, it can eb lienar even if its tagged srgb. User error happens all the time, the only way you can be sure that a picture is what it says it is if it comes forma source that actually is calibrated/profiled to be what it says it is.
still the same colorspace than a jpeg .
as if even my jpg would be linear if i trust that.
Well yes it would probably be, maya does in no way try to convert the colorspaces unless you tell it to. Maya doesnt care about file specifications. No computer does you must make sure you adhere to it.
PS: its easy for you to test and measure. Just make a bw linear ramp background and measure points on it. If its linear your file is in the space you assume it to be.