As mentioned on GitHub: https://github.com/MapWindow/MapWinGIS/issues/63
I used the function
{{ PrefetchToFolder (ext, iLevel, iTileProv, sDir, ".png", null);}}
and it worked perfectly. But after upgrading to version 4.9.5.0. function began to save tiles without an extension. After returning to the old version, the function started working good again.
Is this a bug or I missed something?
I created a unit test which confirms this behavior.
Solved with commit bd661b4