The technical answer is because Gimp uses a general library (GTK) for all its widgets and when you ask the Windows version of the GTK library to open a file selector, it opens its own (which looks a lot like the one it opens on Linux...).
Then the Gimp selector does a few things that the Windows can't do: consider that one use of this selector is to open XCF files and that Windows doesn't know how to show a preview for such files. The Gimp selector can also filter on image filetypes, and show shortcuts to your favorite pictures folders.
And if you are on Windows, you can always open a folder in thumbnail view in the file explorer and drag&drop the files to the Gimp toolbox to open them.
Then the Gimp selector does a few things that the Windows can't do: consider that one use of this selector is to open XCF files and that Windows doesn't know how to show a preview for such files. The Gimp selector can also filter on image filetypes, and show shortcuts to your favorite pictures folders.
And if you are on Windows, you can always open a folder in thumbnail view in the file explorer and drag&drop the files to the Gimp toolbox to open them.