Why Windows shows nothing here
A BLEND file is a project state: objects, materials, cameras, settings. An image is only inside if a preview was stored on save, and even then Windows would not know where to look for it.
What the preloader does differently
It reads the scene preview stored in the file and displays it in Explorer. A folder holding twenty saved states becomes a row of recognisable images.
Practical while versioning
Especially when many intermediate states of a scene exist, the preview saves the detour through opening. You see straight away which version holds which state.