If you are doing a "save as" to jpeg in PM and seeing paths still in the images when you open them in PS I'd love to hear about it cause I'm not.
Ah, I see, you'd like PM to retain the clipping path when performing a save as from eg a psd or tiff. I thought you meant PM threw away already existing path info when manipulating files.
Anyway, I don't think this can be achieved easily. I think it would require PM to recalculate the path, something that is simply beyond its capabilities (and in my opinion really is something that should best be done in an image editor, not in a “browser.”)