First, the name with the .docx extension is the filename. Apparently you have Windows set to not display extensions. While this is a personal choice, IMO, it is a bad idea.

Second, how are you doing the conversion?
If you are using the "Save as Adobe PDF" command under File, you are using Acrobat to do the conversion. In that case, you need to be talking with Adobe about this. My guess is that if you do a print preview in Word after the conversion, you will lose the filename extension.