The change below has introduced a major bug:
https://github.com/jenkinsci/ec2-plugin/pull/276

Now slaves are not starting anymore on Linux.
The problem relies on changing the command from:
java -jar /tmp/slave.jar to cd /tmp && java -jar slave.jar.

SSH needs the command to be escaped when using &&.
Please read https://unix.stackexchange.com/questions/80821/why-does-cd-command-not-work-via-ssh.

Another solution could potentially be run different commands for linux / windows (if that's possible). Or otherwise we need to find something that works for both.

More details can be found in comments here:
https://github.com/jenkinsci/ec2-plugin/pull/276

Reverting back to 1.39 has solved the issue.