It works exactly the same way in macOS Finder as in Windows Explorer. Extensions are hidden by default. You can enable to show extensions (either by individual file, or globally). If a file has it's extension shown, you will get a confirmation prompt warning you of the consequences by changing the file extension.

I've learned to never underestimate users' ability to shoot themselves in the foot. People will click through any popup dialogue which might suggest that their decision to perform an action was wrong.

The warning is a massive inconvenience. It reverts the file name if you cancel, so if you spent any effort on the new name, it will be wasted. Moreover, people often expect to change the file type by changing the name, and they get confused when it doesn't work (or it works for them in some case and they expect it will work here too). Lastly, users often don't read error messages, let alone understand them ("file extension" is hardly an easy concept...), so it's not necessarily helpful to them. Really, the number of cases where you'd need to change a file extension are so small compared to when you don't that I completely understand why they made this choice. It's imperfect, but I don't know of a better solution.

Users are well-trained to ignore warnings.

Like browsers, file navigation UIs could also just grey out the file extension.