The "logo" on the file is the program icon for the application/program that is associated with playing/opening that file. It changes to nothing (or "disappears") because you don't have any Windows program associated with the .caf file type. I don't use Windows and I am not that familiar with file types .aif and .caf... but I question whether you can actually just rename them and expect everything to be good. The file extension signifies the type of file - and I suspect that there are differences between the .aif and .caf file types, the default file association notwithstanding. (The one example where you can simply rename the file is changing AAC formatted music (.m4a extension) to an iPhone ringtone (.m4r file extension), but as far as I know, those are the exception rather than the rule.
Similarly, you can rename a .gif image to a .jpg, but it will always be a .gif file internally - based on file format and structure...