You can not change the default save type.
JPG is a "lossy" format, PNG is not. So, every time you save an image in JPG format you are losing quality. Do this several times and you have the effect of making a copy of a copy of a copy on a photocopier. It starts to look bad pretty quickly.
Paint.NET will never default to a save type that will lose information/quality. You see, people don't pay attention and could lose quality by mistake. If you WANT to lose quality, that's fine. You just need to make a choice to do so.