Most of these programs, including Audacity, are intended for multi-track recording and editing. The 'project' files contain the separate tracks together with all the data about your edits. You can then mix it down to a single stereo track in whatever format you prefer.

If all you ever want to do is record a simple wav file with no multi-tracking and no editing then these programs are possibly overkill. Your computer probably has a simple record function which will do this. However is it much of an imposition to choose "export" from the menu rather than "save"?