I had an audio file in files, and I changed the the file format from .mp3 to .wav and even .mp4 and every time they played normally (when I made it into an .mp4 the playback setup was the regular setup for a video. [and obviously no video.]). So what is the difference between all of the audio and video formats?

Changing the file extension doesn’t actually convert the file format — it only changes the file name. The audio data inside is still the original MP3, and many media players can detect the real format from the file contents instead of relying on the extension, so it still plays normally.
MP3 is an audio format, WAV is usually used for uncompressed audio, while MP4 is a container that can hold video, audio, or both. That’s why renaming it to .mp4 may make the player show a video-style interface, even though the file still contains only audio.
To truly change the format, the file needs to be converted/exported rather than just renamed.
Thank you.