Expressiveness of Infinitary Logic
There is a famous example of Cai, Fürer and Immerman, which shows that the $\mathcal{C}_{\infty\omega}^k$-hierarchy is strict and in particular that $\mathcal{C}_{\infty\omega}^\omega$ cannot express every query on finite structures. The paper is quite famous because it disproved a conjecture that IFP+C captures PTIME. Your proof that $\mathcal{L}_{\infty\omega}\equiv\mathcal{C}_{\infty\omega}$ is correct.