LOL, I had the same problem just yesterday. I set up that batch command a lot but I hardly ever save to jpeg. When I did, I hit the wall.
Click on the "Overide Action "Open" Commands" check box in the source folder options box.
I do not check the close override box.
Very fustrating, I feel Adobe never provides enough detail in describing their operations in their programs.
One way I deal with it is to do EXACTLY what they say in the manual, even that doesn't seem to work always, then I refer to a 3rd party book whose instructions may be worded differently so that I "get it".
Right now I am having difficulty "getting" the lens blur mask set up right.
hope this helps,