In short: using epsfig for inclusion of jpg's is, well, sufficiently funky/perverse that I wouldn't expect TextMate to bother trying to work out that it's *possible* to compile the thing under pdflatex.
Ok, I got the point. I will try to convince the coordinator of our project to exchange epsfig with graphicx. With your arguments it shouldn't be a big problem.
Thanks a lot for all your answers!