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.

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