Windows would just have you open the file manager app when you need a file manager window. No need for the "app" to be always open. To Windows users, it feels extremely strange to have an app that's always open that you can't close.
Windows Explorer is exactly this, so this behavior is not at all foreign to Windows. The only meaningful difference in how these two UIs expose this same behind-the-scenes behavior (in recent versions) is that on Windows you have the option of removing Explorer from the taskbar if there are no open windows, while macOS Finder is always present in the dock.
For current Windows I wouldn't say backend behavior of Explorer is very similar to Finder at all. The "always running" Explorer instance is more similar to the system menu bar+dock which are separate components and processes from Finder. The "file browser" Explorer instances are more similar to Finder but are transient, the process only runs and shows as a running app in the task bar when you launch it and ceases to when be a process when you close it. The start menu functionality itself shares some aspects with Finder but that's not explorer anymore.
In Windows XP days the behavior was very different and could be argued to be similar to any or all of those macOS components as Explorer was all of those things under one process for efficiency reasons.
That Windows Explorer is always running to show the desktop UI is something between an implementation detail and a hack. It could have been implemented as a separate program. And one can use a different file manager than Windows Explorer.
It’s not exactly that. It’s more like an application with two modes, with the application in one mode (the task bar mode) set as the shell. There is no instance of Explorer in file browsing mode open, waiting to show a window. You can even choose to have each instance of Explorer open in a new process, then kill them individually (including the taskbar) without impacting the other instances.
