This annoys me few times 7 years ago, and I never searched the reason :)
I remember I was maintaining few vb6 applications and I often tried to create a "con.udl" file just to trigger the wizard and windows just complained with an error that didn't make any sense. So, I started to use conn.udl.
That's useful feature when you actually want to use the special names and the program in question insists on slapping an extension to any filename it uses (I remember printing outputs from various DOS based EDA tools by using export to postscript or hpgl and saving the result as "prn.ps"/"prn.lst").
I remember I was maintaining few vb6 applications and I often tried to create a "con.udl" file just to trigger the wizard and windows just complained with an error that didn't make any sense. So, I started to use conn.udl.
A bit late, but is good to know.
Here is an screenshot on a Windows 7: https://dl.dropbox.com/s/qg5fxx01mnktw79/ss-2016-07-20T17-19...
Edit: add screenshot