I agree that Wine shouldn't advertise `file:` URI handlers to the desktop environment, because Windows programs can't use Unix file paths. I just pushed a new patch that adds the `file` "protocol" to the blacklist.
We may not want to translate protocol handlers for file: for other reasons, but it's worth pointing out that Wine actually does allow using Unix paths. You can try it yourself by opening cmd and running `explorer /some/unix/path/`. [Note that this translation isn't specific to cmd or anything; it's done at the ntdll level.]