Executability being based entirely on filename makes it way too easy to create a .exe with the icon of a familiar file type like a Word Document. Then and unsuspecting layman who has no way of knowing it's an executable because the file extension is hidden sees no reason not to open it.
This is much less of a probably in Unix based operating systems because permissions needed for executability don't come with raw files over the network or through email, unlike extensions. Moreover icons aren't embedded in binaries, and depending on your environment, you're probably shown the file extension.