Maybe you're confusing the stitched pano with the Hugin project file? When you do a File -> Save, you're saving the Hugin (.pto) project file, which contains all the parameters for the stitch--it's not a graphic file. It's useful if you want to adjust the stitching parameters to rebuild the pano.
The pano itself will be output with the name and type you specified when you stitched the pano. I'd recommend using TIFF file format. PSE can understand that, and you won't lose anything to compression if you're going to edit it further.
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