It really does, the problem is that the colors are wrong if the world shader outputs negative values. In most cases this is not an issue but it can happen. I opened a Blender bug report here, hopefully there will be a solution soon. In my opinion the user should ideally be able to choose between hdr or jpg.
If I remember correctly, the format did always depend on the kind of environment texture before arbitrarily complex world shaders were implemented last year. If no environment texture was used, the irradiance or radiance was calculated from the environment color and in case of skies the radiance was precomputed. I made the decision back then to use jpg because I wasn’t sure about possible performance implications (and maybe there were some other issues with HDR, I don’t know anymore).
Oh, that actually makes a difference in the output file? I tried that option but it didn’t seem to have an effect for me, but probably I did something wrong then. The documentation says that it’s for display purposes and I then went on to try other things, but it is possible to set it via Python. I will test this again in the next days and compare it to the gamma-corrected output and if everything looks more or less correct I can open a pull request 