Can't say that I've ever seen a Jay do that. They do eat well (seed) at our birdfeeder, right alongside that sparrows. Maybe the little one did something to tick him off?!?!?!
I have seem similar, a small murder of crows grabbed a live Robin right out of the street and dragged it up into the big pine nearby. That shrieking while they were tearing apart was difficult to listen to, in all honesty.
I guess I have no problem with nature doing what it does, AS LONG AS THEY DON"T LEAVE THE D(#^# CARCASS IN MY YARD!!!!!!!!!!!!!!