Resolution:
By default, the outbound file name is set by configuring this parameter under Administrator&gtBusinessConnect&gtSystem Settings&gtInstalled Protocols&gtEDI:  edi.outbound.contentDisposition.fileExtension.  By default, it is set to ".dat".  If you change it here, it will affect all trading partners.

For the FILE and FTP transports, you can override this parameter using the File Mask parameter in the transport for each individual trading partner. If File Mask parameter is null, EDI uses “#(TpName)-#(DocID).request” as default File Mask instead of the edi.outbound.contentDisposition.fileExtension value.