It's because WAV is a container format meaning it can have different audio formats within it and they will only play if you have the correct codec installed (no codecs exist for PocketPC). Only PCM WAV's will play on your Axim so clearly the file produced by your recorder is not PCM. Yes, you will need to convert them to a more suitable format such as MP3 or WMA.
A simple converter that will do the job is
ACM Station.