The same holds true for PDF files however, you can show thumbnails for them. They tend to have a thumbnail that shows the default app that is set to open/read it. Generally speaking, documents do not show thumbnails. These thumbnails are normally the cover or first page/slide of the file in question. If you have Microsoft 365 installed on your system, you may also see thumbnails for Word documents and PowerPoint presentations.
For audio files i.e., those that belong to music bought online or ripped from a CD, File Explorer can display album art if it’s embedded in the file. File Explorer can show thumbnail for images and videos.