The point is that even if you choose to display all file extensions, the extensions "lnk", "pif", "url" and a few more are never shown.

Search in your registry for "NeverShowExt".

In my PC I found the following:

*.accountpicture-ms, *.appcontent-ms, *.appref-ms, *.desklink, *.library-ms, *.lnk, *.mapimail, *.mydocs *.pif, *.scf, *.search-ms, *.searchConnector-ms, *.settingcontent-ms, *.URL, *.website, *.zfsendtotarget