One format, many sources
DNG covers very different files: RAWs converted in Lightroom, original captures from DJI drones, ProRAW images from an iPhone. Depending on the source the embedded previews are built differently, and Windows handles them inconsistently.
What the preloader does differently
It treats every DNG variant the same and produces one consistent preview. Drone flight, phone capture or converted camera RAW: in Explorer it all ends up looking the same way, as an image.
A typical case: the drone flight
After a flight, hundreds of DNG files land on disk, often alongside video from the same session. Instead of opening each file, you see the whole flight as a contact sheet in Explorer and decide there what stays.