The printed name of files lists the template names, NOT the rendered names!

[CCP-Zeulix]

That is to say, while the actual name of the file generated takes the {% setfilename %} tag into account AND the path of the rendered file that's printed is correct (not the template path) the actual file name is the name of the template NOT the filename that the {% setfilename %} tag creates and thus not the actual file that was generated.