ICO is only understood as an icon; editors and websites want an ordinary image. JPG opens on every device and is accepted by practically every upload form. ICO is at home in website favicons and Windows app icons; JPG is the usual choice for photos you need to share, upload or print. JPG is lossy, so keep the ICO original if you may need full quality later.
JPG has no transparency, so see-through areas of an ICO are filled with a solid colour, white by default; you can change it under Options. The defaults suit most files. Under Options you can set the quality, aim for a target file size and resize the result.
If the icon file holds several sizes, the largest one is converted.