Hi Saruman,
HoloLens 2 development isn't (yet!) covered on the Q&A forums. For help with HoloLens 2 programming you can open a support ticket at https://aka.ms/mrsupport to work one-on-one with a HoloLens 2 programming specialist.
External cameras aren't supported on the HoloLens 2, so the behavior from one is undefined. See the supported USB classes at https://learn.microsoft.com/en-us/hololens/hololens-connect-devices#hololens-2-connect-usb-c-devices
Even with the onboard camera, I'd expect only the uncompressed & YUV formats (see https://learn.microsoft.com/en-us/windows/win32/medfound/video-subtype-guids) to be available at the MediaFrameReader level, not encoded formats such as MJPG.
You can get MJPG output by capturing to a custom sink. The pipeline will encode it before calling your sink.
Media capture is very complicated and there may be a better way to get to your end goal. If you'd like to discuss this with a HoloLens 2 media specialist please open a case at https://aka.ms/mrsupport
--Rob