Why Affinity files stay grey
As with Photoshop, these are layered documents, not finished images. Windows ships no decoder for the format, and because Affinity is less widespread than Adobe, there is hardly any add-on solution either.
What the preloader does differently
JB Thumbnail Preloader reads the preview stored by Affinity in AFPHOTO, AFDESIGN and AFPUB documents and displays it in Explorer.
Mixed tools, one workflow
In practice Affinity, Photoshop and Illustrator files sit next to each other in the same project folder. The preloader treats them equally, so what you see does not depend on which program created a file.
What the Affinity file must contain
The file must contain an embedded preview written by Affinity when it was saved. JB Thumbnail Preloader does not render the document layers itself. If it is missing, Explorer shows the file type icon.