In later versions, Explorer stores all thumbnails in %LocalAppData%\Microsoft\Windows\Explorer, which can very well be on a different volume than the original file.
I won't speak for the file managers in particular, but on linux it is common practice for cached data to be stored in dot files like ~/.cache/ even if the original data is on a different encrypted mount. It is a pretty deeply engrained practice that can easily leak secrets if you aren't careful. Another example of how security is hard to bolt on after the fact.
One example I've seen was that if you filled out a form in Okular, it would store the form data in a dot file in your home directory rather than in the original PDF or a file adjacent to the PDF. Not sure if that was ever fixed.
I'm annoyed equally by the space they take up and their presence.
We pulled an old camera out to donate the other day and I popped the SD card in my laptop to see what might be on the card. It was a 1GB card "full" of photos my kid took on one of our vacations. I say "full" because there was a 125mbs of files Finder left wasting space on it.
That's easily 25 photos that weren't taken. What shots did we miss because the SD card was "full"?
A 1GB SD card is likely to be formatted with FAT16. Even a "one byte" file must take up 32KB in the file system because that's just how big the clusters will be.
