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Connect 2 computers together to do what, exactly? The most common answers (e.g. sharing files) are all network-based. This cable definitely does not create a network connection
The USB protocol can indeed handle file transfers, not sure why windows by default wouldn't have support. But when you plug in a phone or hard drive/thumb drive by USB the first thing it asks is if you want to transfer files.
There is absolutely no reason why you wouldn't also want to file transfer between two computers, or say a laptop and a desktop. Just isn't supported by default, but there is software that can give you that feature.
Edit: it looks like in order to get windows to do a USB file transfer by default, the cable itself needs to have an identifying chip. So that windows doesn't use one of the default protocols and try to transfer power as well. I guess there's just no support for computers to identify themselves, it's assumed they will always be the host device and just passively wait for the device on the other end to identify itself. So the software just adds the ability to set one computer as a USB client and identify itself.
There are many, many ways to transfer files. Many phones present themselves as a Mass Storage device (i.e. same as a thumb drive). Others use the Media Transfer Protocol. In any case, your device end has to be configured as such, which cannot be done from a Windows host. USB on the Go (and by extension, USB-C) offers some very limited abilities for something to switch between host and device (master/slave), but it's up to each device to enable that functionality.
When most of us share files on a PC, we are using SMB. This is what Windows typically means by sharing files, and is network-based.
Regardless, you always have to configure each side on what/how to share, and how to access that share. Most phones have a default configuration for this (and it's not everything on your phone), and Windows makes this type of access easy and direct. Again, there are other options, such as the Android Debug Bridge, which are much more complicated.
(As for the identifying chip, there are chips that present themselves in different ways on demand. It is a massive security risk, and has been exploited in the past. Examples are fake keyboards, fake network adapters, and even fake storage - although that's usually technically real, and used to deliver a malicious payload)