Hi Tim,
First, your SC setting for Default File Manager is correct.
Ctrl+O doesn’t work in SC (it requires the file manager to have some APIs for external applications to query information). You can press Ctrl+G instead to let the Word open file dialog navigate to the current folder in SC.
Search works perfectly with SC. You can press Ctrl twice to open a folder in SC anytime (both inside and outside of SC).
Favorite and history also work.
Detailed documentation will come soon after the release of Listary 5. I’m working on it.