From the manual (yes, file names have cryptic meanings):
MGU Files:
A Band-in-a-Box song called “My Song.MGU” will have the associated wave file called “My Song.wav.”
I will say it again. This is just not so! There is no "My Song.wav" created when you simply regen a "My Song.mgu" file. I will go even further, if you were to intentionally Render the audio during playback, yes it would create a "My Song.wav" in the same directory, with the same name, but I always considered that a bug - not a feature, since it will confuse the heck out of new users at some point.
And finally where ever and what ever Utility tracks are doing with .wav files, I am the first to admit I have no idea.
Hope I am not hijacking this tread, but I am in a grumpy mood this morning.