It's like this:
A MOBI file is a perfectly valid PRC file, but a PRC file need not in general be a valid MOBI file. So by labelling mobi output as .mobi calibre is indicating that the file it has produced is a valid MOBI ebook. It's unfortunate that there isn't a new enough version of MOBI reader for your win ce device, but I'd rather not change the behavior of calibre to accomodate something that is rapidly becoming obsolete.
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