By far not all support files are handled along with the mp3 filename.
If you insist on a source of written information:
See the change log:
[2021-03-15] NEW: CDG files are now also moved and copied with corresponding MP3, WMA, and FLAC files. (#51944)
[2020-11-22] NEW: CDG files are now renamed with corresponding FLAC files. (#18245, #50830)
[2018-11-22] NEW: CDG files are now renamed with corresponding WMA files. (#43547)
[2018-11-22] FIX: CDG files were not renamed with corresponding MP3 files anymore (since v2.90e). (#43605)
Using the keyword "cdg" with the search function of this forum would have revealed at least this thread: