...
This is an area of active conversation; if you would like, you can test
the latest snapshot and the experimental coreutils 8.4-1 to see if the
behavior is more intuitive (that is, there are more situations where
.exe is preserved across file moves or copies, and fewer places where
.exe is appended on a whim if the source didn't have one).
In general, cygwin does not care if the .exe is missing, but other
programs (particularly cmd) do, so it is better if PE-COFF files are
given the .exe extension. But implementing it is tricky - for example,
in the case of 'cat a> b', there is no way to tell at the time when b
is created whether it will be populated with PE-COFF contents (that is,
no way to tell whether the source was a literal 'a' or 'a.exe'), so you
will not get an .exe in that case.