The reason is, that the RAW RAF file is not an image per se. It is sensor data. To display it, the data has to be interpreted into an image.
This is done by a piece of code and takes a little while. Being interpretation, the result may differ between programs.
What you see in Windows is that the explorer or most editors shows you a low-res jpg which is embedded in the RAF first and has a lot of imaging magic already applied in-camera. If you set the camera to black and white, this preview will be in B&W.
When opening, an explorer extension or your photo editor will try to interpret the image. Usually RAWs will look a bit flat, less sharp etc. That is exactly what you are seeing. Note: B&W images will now be color, as the RAW is always in full color (unless you are using one of the curious B&W only cams).
In Lightroom, the preview in the RAW will be discarded very early, so you then see its interpretation.
The differences in interpretation is in the code of the publisher. The extension in the Windows Explorer is probably from your camera's manufacturer, while LR has its own interpretation.
If you want to check which parts of your process shows the preview and which the RAW data, I recommend the experiment of setting your cam to B&W. It then will be very obvious, where you see the B&W preview and where the color raw data.