I would use "the" with the plural "formats": "save images in the PDF, PNG, and JPEG formats", but: "save images in PDF, PNG, and JPEG format."
I might also say "save images in a PDF format", either thinking that there is more than one format known as "PDF", or assuming the other person is unfamiliar with PDFs.
These things are capitalized because they are like proper names. I might also say "give the x-rays to the Drs. Jones" but "give the x-rays to Dr. Jones and Dr. Smith", and I might say "I gave the x-rays to a Dr. Smith", either thinking there was more than one Dr. Smith where I was or assuming the other person is unfamiliar with Dr. Smith.