Doh! Eu realmente deveria ter procurado mais por uma resposta.
Na FAQ do 7-Zip :
Why does drag-and-drop archive extraction from 7-Zip to Explorer use temp files?
7-Zip doesn't know folder path of drop target. Only Windows Explorer knows exact drop target. And Windows Explorer needs files (drag source) as decompressed files on disk. So 7-Zip extracts files from archive to temp folder and then 7-Zip notifies Windows Explorer about paths of these temp files. Then Windows Explorer copies these files to drop target folder.
To avoid temp file usage, you can use Extract command of 7-Zip or drag-and-drop from 7-Zip to 7-Zip.