As I said, the naming conventions have become more free than what they used to be. As the Microsoft article says "Use a period to separate the base file name from the extension in the name of a directory or file", which means the last period just as you said.
The AH film naming system seems to allow for changing the extension similarly to any Windows naming process when choosing "All files" instead of the default in the Save As window.
As a side note, allowing multiple periods in file names has enabled malware spreaders to fool people by naming executable files using .pdf or .doc or other familiar endings in between, supposing the user has the common extensions hidden as the Windows default setting. So if you get an e-mail attachment named something like "temptingfile.pdf.exe" or "reallyfunnypic.jpg.exe", don't open it!