One long running Windows Explorer bugbear is that SKP files etc show an image in their file-icon,
but SketchUp’s .SKM [material] and .Style files do not
[of course they do show up in SketchUp itself, but use a generic icon in Windows Explorer].
There are paid 3rd party apps to fix this, but the free ones
[e.g. SageThumbs] fail with SKMs - that's until now.
There is a good free and safe alternative called ‘Icaros’.
It’s simple to install and use.
You need to add this to its supported filetype lists -
;.style;.skm
and restart to see your Style and SKM files images in Windows Explorer file-icons…
https://github.com/Xanashi/Icaros/releases/tag/v3.3.5