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              99% of Windows usability issues would be fixed if Windows had the guts to add this button
 
            
            (media.piefed.social)
          
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Many files copied to an external disk are cached, and not written immediately unless you run the "sync" command.
So when you press the "eject" icon, on most frontends a notification will tell you not to unplug it right away, once the write is complete it will send a "it is safe to remove the drive" message. This can take a couple minutes if you are writing a big file to a slow drive.
By default Windows disables file caching on external USB drives. It should be writing those files directly. That doesn't prevent a program from locking a file or folder that it is using though.
Thats bad practice though, external drives in Linux should be mounted with no write caching just like they are in windows.