Does it use lossless rotation when rotating the jpg on the camera though ?

All it does is update a tag which tells it that it's a rotated image. It doesn't actually attempt to rotate the pixels of the image.

In fact, that's why I like to do it on the camera because I don't trust the browser software to do it right. When I told the browser software to rotate the image, it had a little percentage bar go across the screen saying "rotating image", which made me think it was doing a decompress/recompress of the image.