When you have the preview turned on, Windows Explorer has to communicate with Acrobat (or Reader) to render the first page of the document into a thumbnail. Based on what we can see on the outside (nobody here is working for Adobe, so we don't have access to the application's source code and can only speculate), when this happens, the file gets marked as "in use". I know that other applications are not doing that, and you can e.g. write to an MS Word file. However, we don't know if the problem is on the Windows side or the Adobe side.
There is one other option to avoid this problem: You can turn off previews.
You can submit a bug report to Adobe: https://www.adobe.com/cfusion/mmform/index.cfm?name=wishform
Karl Heinz Kremer
PDF Acrobatics Without a Net
PDF Software Development, Training and More...
http://www.khkonsulting.com