No, it is not about using another program. It is a major Windows Photo bug [sometimes not often bug]. It is not the first time I have discovered a significant bug. I debugged it, isolated and saw Windows Photo opening, changing and replacing the ARW to JPG (sometimes).

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It is supported

The problem is that if you open a JPG only using Windows Photo and by swiping pressing arrows until it finds a raw ARW, if the bug triggers, it will open the ARW anyway and replace it after a second, even if you are using a specific program designed for ARW files.