Previews are mini graphics files embedded in the file, which is why DWG files have these.
DXF files, being text, I don't believe have this capability to store a mini image.
There is a DXF file format for binary (dxb I think), but your source software has to have the binary write capability and the destination software binary read capability.
Even then I don't believe an image is written to binary.
Perhaps someone else knows of a remedy to your OP.
Jetcam is the best sofar but that does not allow you to select
and move/copy/delete operations. And it only views in their own
UI and not in explorer.
eDrawings can open DXF files and the eDrawings engine is used in SolidWorks Explorer for file preview.
So perhaps you can shift your workflow from Windows Explorer to SolidWorks Explorer.
There will be other SW bennies as well when using SW Explorer for SW files.
I too have developed the Win Explorer habit, especially since it's a Windows+E shortcut,
So I wrote a utility to start SW Explorer or Win Explorer using the Windows+E keyboard shortcut.
You can even have Win+E default to SW Explorer if you prefer.
I hope this helps.
This is what SW Explorer shows:
Perhaps Autodesk's viewer...