Hi Per,
I haven´t installed Bridge. It´s so funny, in LR every raw-thumb is shown. And I always shooting raw. Befor with the old 6D I had no problems. Starting with the Mark II I changed from CS6 to CC and had no problems. After uninstalling CS 6 and all the components the trouble began. I just killed CC and installed it again with the new CameraRaw. It´s the same problem again.
I don't think this is Photoshop's fault, since the Open dialog is served by Windows.
I would have thought that Windows could display the embedded jpg preview from the raw file, but since I never use the OS to view raw files, I haven't given this much thought.
It might have something to do with Windows codecs - do a Google search for something like "codec for raw files windows".