This is how .NET works.
Each .NET AppDomain has its own config file.
In the case of an ASP.NET app, this is a web.config file. In the case of an EXE (like a WPF app) it is <programname>.exe.config (which is what VS renames your app.config to when you build). And as you note, Silverlight has its own naming convention.
The point being, your WPF app is running on a separate machine, and thus clearly in a separate AppDomain, from the WCF server. So it absolutely needs its own config file.
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