Why EXR is difficult
EXR stores brightness values far beyond what a screen can display, often across several layers for lighting, depth and mattes. Turning that into a displayable image means folding the value range down. That is computation Windows does not perform.
What the preloader does differently
It takes the image layer, brings it into a displayable range and stores a preview from it. A render output of hundreds of frames turns into a folder where you can see the progression.
A typical case: checking sequences
When a render ran overnight, you want to know in the morning whether every frame is clean. Laid out as a row of images in Explorer, a broken frame stands out instantly.