Photoshop: Save for web with slices saves as only png

So I faced a small quirk of Photoshop sometime back.
When you are slicing an image, and trying to export all slices by doing "save for web", even if you select "jpg" as the file type option, it ends up saving all of them as png.

Well, there is a small nugget here, which is very unclear at first.
When you do "save for web", in the window that appears, there is a preview shown on the left side. In that, slices are shown with their numbers 1,2,3 etc. You have to click on those individual slices, and then change the file-type of each slice one by one. Now when you save, the individual slices would be saved in the file formats that you selected for them individually.

Hope it helps.