Yes you can use them. There is no documentation for not using it.
I've used/seen many files with dot in the file name without any issues in the past.
Problems you could have:
1 If you have sub assemblies with the same name as parts and have them both open in SolidWorks, you sometimes can't insert them in the assembly or only the part or assembly.
2 For some reason, sometimes the .test is seen as the extension when inserting drawing views.
3 If you plan on using driveworks, you should also steer clear of using points.