There are some differences in the file formats, but in general they are similar and they only differ in a couple of bytes. Interchanging them works, because Windows is tolerant and the code that reads these files accepts both formats.
Still, renaming the files is not a good idea, it may confuse some applications. And you are relying on an undocumented functionality that is not guaranteed to work forever.
And to answer your question: There are two applications, because the use cases are different. Icons typically contain multiple images, some of them may be compressed in Vista and there are also icons for Macs, which use different format. Cursors on the other hand typically only contain one image, 32x32 pixels in size, and they have a hot spot. Then there are animated cursors which add a new level of complexity. Having two applications focused on each case helps beginners to get the things right and there are also specialized conversion functions. Internally, an application supporting all these file types exists (it is called RealWorld Designer), but it was not released and it won't be in the near future.