This has always been a problem in Windows. This is probably due to Microsoft's desire to move the world towards using WMA. Your solution is what most people end up doing. Take the WAV file and use the converter of your choice. Personally, I use open source Foobar which gives me flexibility to use any number of codecs and options.

If you are willing, using the WMA format works very well within BIAB. As far as MP3, I've never had any luck converting to a high bit rate from within BIAB.