Do they take the Initiative penalty or not? I was certain they did, but I checked it earlier today and now I'm less confident. If you use your Jump ability in the Assault Phase rather than the movement phase, you explicitly benefit from the 'Skyborne' rule (the rule that allows Jump Infantry to move over terrain and other models). As far as I can tell, if you use your Jump move in the assault phase and charge into difficult terrain, you take Dangerous Terrain if you land in terrain but you otherwise ignore the terrain including the Initiative penalty (as you are not charging through terrain, you are charging over it).
If so, then the obvious result is that Wraithknights don't go down to I1 for going through cover, but I'm sure there are other jump units that benefit from this.