I just rotated a JPEG and the new file was almost twice as large as the original. I thought that the rotation was probably not lossless and was instead a re-encode, and I was right. According to a forum thread I found, rotation is lossless when possible, but if lossless rotation isn't possible you get lossy rotation without warning. Like many of the people in that thread, I find this to be unacceptable. I recommend Jpegcrop for lossless JPEG manipulation.
Windows XP warns if rotation isn't lossless, and I think this is another example of how XP is sometimes better. In the forum thread someone from Microsoft said that they removed the warning for usability reasons. I think the right thing to do would be to have a "don't show this again" checkbox and a preference checkbox somewhere to enable the warning.