I forwarded your suggestion to Eero (who implemented PNG support), and he replied:
Except for the UI part, it should be trivial to do (even currently, if PNG
saving fails, the code will then try saving as BMP), but I'm not sure why?
BMP:
- just wastes space
- not as well supported as PNG (e.g. by browsers)
JPG:
- For non-TC images doesn't compress as well as PNG
- Somebody (not me), would need to implement support for it.

Do you have an urgent need for BMP or JPG screenshots?
Concerning the slider bar in the file selection dialog, yes this would be nice. But it's just a lot of boring coding work, so this might not be implemented very soon...

By the way, you can also use the "Page up" and "Page down" keys on your keyboard or the mouse wheel to scroll through the files.