If you've set $wgFileExtensions = 'exe'; and try to upload an executable, you will get an error message:
".exe" is not a permitted file type. Permitted file types are png, gif, jpg, jpeg, doc, xls, ppt, pps, pdf, png, gif, jpg, jpeg, xml, xsd, wsdl, txt, exe, zip."
because .exe is blacklisted.
An extension being in $wgFileExtensions should probably override its being blacklisted: I assume $wgFileBlacklist is just there to make $wgStrictFileExtensions = false; safe.