This is a frustrating behavior on Windows, not because it's possible, but because it's default. I vastly prefer the way KDE performs. Whatever the default program to open that file type is attempts to open it. You can easily change what the default is.

It's frustrating when I instinctively change a file extension on Windows so I can do some other operation with it (say changing a configuration file to .txt to edit it) and Windows still doesn't know what to do with it.

I'm not averse to the behavior, I just wish I could control when it happens.