Facebook indeed returns profile pictures as JPGs. However, you can use image manipulation solutions for dynamically converting to different formats. For example, you can do that using Cloudinary - http://cloudinary.com (disclaimer - I work at Cloudinary).
With Cloudinary you can fetch Facebook profile pictures, make any image transformation of your preference, and convert to any format of all major images filetypes (including PNG).
The transformation is easily made, on-the-fly, and delivered through a fast CDN.
The images will even be refreshed after a user changes his/her profile photo
Here's an example of a Facebook profile image. Here's the original:
https://graph.facebook.com/billclinton/picture?type=large

Here's the same image, fetched from facebook in real-time, resized to a 80px width and 120px height, with fill cropping, and converting it to a PNG file:
https://res.cloudinary.com/demo/image/facebook/w_80,h_120,c_fill/billclinton.png

You'll need replace "demo" with your own account's cloud name