JPEG will definitely reduce the file-size, but it'll also kill your alpha. The thing is, TGA is the only useful format (out of the three that are generally used for skins), as it's the only format that supports transparency, and that is essential.
I think,
Dr Super Good meant JPEG compression used in BLP, not the JPEG file itself. Any BLP with JPEG compression always contain alpha, even if the input image was without it. Oh, and BMP can store alpha channel, read the file format specification, wc3viewer just cannot save it. Why convert BLP to something, when you can BLP => BLP?
~98% of the skins can be optimized without resaving it with lesser quality, but the difference in size wouldn't be bigger than ~3 Kb uncompressed (and ~1 kb in archive).
For example, I took SharadarSorceror.blp by
Dionesiist (JPEG, 85% quality, 82,0 Kb) and optimized it in blp lab, which saved 2908 bytes. Next, I resaved original file with 65% and haven't noticed significant changes, but the size dropped drastically (51,6 Kb). Of course, it's not a limit of quality, I saw skins saved with 30%, and they looked decent in game.