Why doesn't Photoshop elements (2019) support JFIF files ?

PGrainger  wrote All other photo apps seem to. It is the default for Whatsapp downloads for example Message is "wrong kind of document"

I think that only Adobe can answer why. What others can say in this user to user forum is that there are issues with WhatsApp and other web services which don't comply to the standard jpeg format.

I suggest you ask in the feedback forum:

Photoshop Family Customer Community

A number of free softwares can read the files from WhatsApp and save them as jpeg which you can open in Elements.