It's a rare case that does, but it doesn't do it very well. It is more Microsoft's fault than anyone's, since they should make doing this easy, but it is what it is. Try clicking the link to open a downloads folder from a browser like IE or Chrome, with the tool you mention. You'll see long delays, or two windows open at once, or it won't notice it already has windows open for the same folder and opens an additional one, and it doesn't select the download in the folder it only opens the folder.
I know why all of that happens, because we faced the same issues in Opus and had to find solutions for them, which we did. Every so often, Windows changes something and we have to re-visit that code to find new solutions. (We don't need to change the code much these days, but it still happens even for us and sometimes it can take days and several prototypes to investigate and invent a solution. In fact, 12.2.1 beta and 12.2.2 beta both have small improvements to the Explorer Replacement code, partly for changes in Windows 10 Anniversary Update.) There is no proper API for replacing File Explorer like there is for replacing Internet Explorer, and there are lots of ways Explorer can be launched, some of them rather complicated and undocumented.
Doing Explorer Replacement well is hard, and if you want the best you need to pay a bit more. Assuming you got Opus Light via the Humble Bundle, you can upgrade to Pro and still pay a very low total price compared to normal. If it's not worth paying for then by all means don't buy it and use Light, or even something else entirely, but we're not giving it all away for free. We have to support ourselves.
Similarly, I want to be able to Remote Desktop into both my PCs from each other, which means I end up having to buying Windows Pro. There are alternatives like VNC, but they aren't as good, so I pay for Pro. (And RDP, and maybe BitLocker, are the only extras I get from Windows Pro. Opus Pro is a much better deal since it's full of additional features you'll find useful in return for the extra cost, not just the one feature you know & care about right now. I still end up buying Windows Pro because I want RDP and nobody else can do it as well.) Other people use Windows Home. Or Linux or OS X. The thing that makes most sense will be different for everyone, but I doubt Microsoft would even reply to me if I posted on their forum telling them to give me the Windows Pro features for free. I don't know, maybe I am wrong and it is worth a try. 