I started experiencing the very same file name extention issue on OSX 10.9.5 with the latest build 16299. As I see the release note 16299 changed this behaviour only for Win not for OSX.
I looked into my library where I save my general caption files and it shows before February 15, 2015 all of my saved caption files have the .xmp extention (some of them upper case, some of them lower case). But I cannot recall ever to consciously adding the extention myself to the filename or avoiding to overwrite it in the filename text box. As I remember I always have been completely overwriting the filename to add my identifiable filename structure (date and event name).
Since that date that seems to be the same time when I upgraded to PM release 16299 none of the caption files have any extention (I added the extention later manually to some to be able to load them back into PM when I needed to reuse them since then).
Now this investigation and reading this thread helped me to discover why PM doesn't automatically add the extention and how to avoid it next time. However I would welcome the above mentioned fix for OSX as well.