The first time you try to use the file manager, a pop-up appears asking you to select the application to use. Maybe this is intentional. That would be acceptable for a standard installation, but rather annoying on a Live ISO without persistence.
I do see Jani has been fixed this in a recent submit to BS.
CC: (none) => ouaurelien
Fixed in mageia-xfce-config-4.140.8.5-1.mga8.
Status: NEW => RESOLVEDResolution: (none) => FIXEDCC: (none) => jani.valimaa
Confirmed fixed on the latest ISO build. Thanks Jani.