OK Just tested it , You DO need to add the ext, something changed there from the past as the window SHOWS you that "it "should ADD the ext ".TXT " automatically.
Now as to the empty file mach3 will only save the data IF YOU CLOSE the file with M41.
The M40 creates the file BUT It only writes to the file when M41 is used to close the file.
Hope that helps, (;-) TP