Isn't that mostly just because of how tar is designed? It's a concatenation of individual files with headers, so you have to decompress the whole thing to get a file list anyway. At which point you might as well save the decompressed tar in temporary.
It's also quite a bit faster than Windows at opening and creating zip (edit: not gzip) files.
You're confusing gzip (.gz) and PKZip (.zip). Windows has no native support for gzip, only PKZip.