I dont shoot JPEG that often, but I have noticed that using natural mode with -3 sharpness and then adding Benjakins sharpening (0.3 radius 250 %) then radius 2 25% produces very sharp results but with less artifacts than in-camera sharpening.
There is NO loss of detail using sharp -3, in fact I think it preserves more fine detail on edges which the (comparatively) high radius setting of the in-camera sharpening tends to mess up.
You can try it too - you may try different settings to mine - but the results I get are excellent.
Here is a 100% crop, sharpness-3, then sharpened in PS, then in camera sharpened +3 - note that contrast is about the same, but detail is smoother and better defined with less haloing (check the grill on the front of the police van) and noise is lower...
sharpness Photo Gallery by Steve Jacob at pbase.com
Overall I would not hesitate to use this mode if I planned to post process the JPEGs, as there is considerably less noise in the -3 natural JPEG which makes all the other PP steps easier.