After inserting an Image Linked to File, if I right-click on it and then select Reveal in Windows Explorer, the Windows Explorer Folder opens up and is displayed, but the file is not highlighted. Not sure if this is the intended behavior or not, but I was expecting it to be highlighted.
When I do the comparable command going to the File menu and then Reveal Project Folder for the Project, Windows Explorer opens the Folder and highlights the Project folder (of course in this case it is a folder and in the case of the Image Linked to a File, it is a File).