Disk Copy (in your Utilities folder) can open .dmg files, the usual way mac programs are distributed.

There's no setting in LW or on the mac that would change the file extension.

But again, beware of files that show up in your results that don't have the proper extension: they are spam or worse.

To test this, try a LW "Any Type" search for "grspre .dmg" (or any made up name and a real extension). You should get lots of files coming back with the name 'right', but the extension and content will be junk.