Hmya, this is a bug in a Windows component. The Windows group is always very reluctant to get bugs like this fixed, breaking changes are postponed to a next Windows version. It did get fixed in Windows 8. Do consider how unusual it is what you are doing, the DPI of an image should always be set by the device that recorded the image. Like the camera or scanner, they never get this wrong. There just isn't any device around that has a 200 dots-per-inch resolution.
If you are desperate enough to find a workaround then you could consider patching the file itself. Not hard to do for a JPEG file, the fields in the file header are pretty easy to get to:
using System.IO;
...
public static void SetJpegResolution(string path, int dpi) {
using (var jpg = new FileStream(path, FileMode.Open, FileAccess.ReadWrite, FileShare.None))
using (var br = new BinaryReader(jpg)) {
bool ok = br.ReadUInt16() == 0xd8ff; // Check header
ok = ok && br.ReadUInt16() == 0xe0ff;
br.ReadInt16(); // Skip length
ok = ok && br.ReadUInt32() == 0x4649464a; // Should be JFIF
ok = ok && br.ReadByte() == 0;
ok = ok && br.ReadByte() == 0x01; // Major version should be 1
br.ReadByte(); // Skip minor version
byte density = br.ReadByte();
ok = ok && (density == 1 || density == 2);
if (!ok) throw new Exception("Not a valid JPEG file");
if (density == 2) dpi = (int)Math.Round(dpi / 2.56);
var bigendian = BitConverter.GetBytes((short)dpi);
Array.Reverse(bigendian);
jpg.Write(bigendian, 0, 2);
jpg.Write(bigendian, 0, 2);
}
}