All those other devices are USB class devices (they have a generic USB driver, typically the bulk storage driver). Windows requires a device to have a driver before initializing it. The SONY reader use a proprietary USB protocol and thus does not have a generic driver, so unless you install some driver either connect or libprs500, windows does not initialize the reader when it is plugged in.
Unix like OSes on the other hand dont have the concept of "registered drivers" so will initialize any USB device and then wait for a driver, either a kernel module or a userspace driver to claim the device.
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