When I do a mysqldump operation I get a .SQL file. I have never created a .DUMP file but was able to restore a database from a .DUMP file with the same operations("<" or SOURCE) I use to restore a database from a .SQL file.
So what's the difference between these two file types?
Calling a mysql dump .sql is just a convenient convention. You could call the files .foo or .arglebargle if you wanted. MySQL doesn't care. It just expects to be fed SQL statements when the dump's reloaded, regardless of what the filename actually is.