I am not sure why this would not work.
Are you sure you're burning an audio CD and not a data CD or something else? I can't understand why Nero wouldnt already convert a .wma to a .wav when you correctly burn an audio CD. In fact, for your sake, I tried for myself and was successful.
On the other hand, maybe something went wrong with your stereo? Does it still play "regular" CDs ok?
There is a slight chance that something went wrong...I went through a similar experience of not being able to play my CD-R's, but it turned out that I had a bad CD-mechanism...which means no CD will load.
Hope this helps...