Rolf Viehmann asks why Explorer doesn't let you create a file whose name begins with a dot.
Such files are considered to have an extension but no name. If the extension is known and the user has chosen to hide known extensions, the resulting file would have no name at all!
If you really want to create a file with a leading dot in its name, you are free to do so. You can do it from the command line or use your favorite file management tool. And then you can watch the file show up with no name and then observe the confusion that ensues. Maybe you're lucky and don't run any programs that freak out when a file has no name. If so, then more power to you.
If it really bugs you that you can't do it from Explorer, you are free to write your own shell extension to do "Rename this file, and if I'm going to shoot myself in the foot, then let me."