Often peppers at the grocery store may not be grown locally and are picked earlier in their development than you would pick yourself off a plant, even in the case of those considered ready while green like bells, jalapenos and serranos, so the issue of using optimal red ripe fruit is even more significant with store bought fruit.
I have in the past grown grocery store bought red bell peppers. What peppers (fruit) that grew was ok except there was something odd about the plant in that it was very deformed looking and always insisted on growing many buds in a small tight configuration so the fruit didn't have enough room to grow. I mean it was two separate plants, the only two red bells I grew so I can't attribute it to a one-off odd plant deformity. I didn't bother saving any seeds from that plant nor am I going to use any of the others from the grocery store bought fruit, I threw them away.
Also keep in mind that companies like Monsanto are hard at work making GMO (genetically modified) seeds that cause the resultant plant to be sterile, large scale growers who sell to grocery store chains may be using this seed.
What if they were left to ripen on the counter? Would the seeds work then you think?
Ripening is just an enzyme process that happens at the end of fruit maturity. Unless you take careful measurements of the fruit to notice the end of growth it is difficult to determine the fruit is fully mature so seeing it ripen is the easiest way. When the fruit is picked the maturity of the seeds at that point is what matters, letting it sit on a counter won't make a difference, but at the same time seeds from a mature but not yet ripe pepper may be viable, it's just not something to depend on.
What i dont get is why are the supermarket jalapenos like 5 times bigger than what my plant is putting off!!!
They're probably hybrids. Sometimes I wonder if americanized jalapenos sold in grocery stores are actually a jalapeno-bell-jalapeno hybrid. On the other hand, for some reason I get significantly larger fruit when my jalapenos are planted in the ground rather than potted (using same seed), though it could be that with more nutrients in the pots I get more blooms simultaneously so the plant is growing more peppers simultaneously.