The EPSF filter for Claris CAD and MacDraw Pro saves the preview in the resource fork of the resultant EPSF file. When you transfer Macintosh files to a DOS disk the resource fork is stripped out. Therefore, you will get no preview from those files when you open them in Windows.
The only workaround is to open the EPSF file in a program like Adobe Illustrator, which has an option to save an IBM preview with EPSF files. Once open, select that option and save as EPSF. You can then transfer the file to Windows and the preview will appear.