I am confused myself, but to sum it up:
MP3, 22kHz, stereo -> serious distortion
WAV, 22kHz, stereo -> serious distortion
MP3, 44kHz, mono -> decreased quality
MP3, 44kHz, stereo -> no difference
I don't know what to make out of the 32-bit float information from Audacity, so I didn't list it.
All files are playing fine with GraphStudio, which appears to be just an enhanced version of GraphEdit and is also just using the DirectShow filters. And ffdshow on my system, which is used to decode the MP3s, is even configured to output 16-bit PCM by default.
Could you provide some sample code or program, that performs the conversion, so I could see if the output is already distorted?