* Nautilus (Linux), Explorer (Windows), and Finder (macOS prior to Mojave) will open one window for each selected image at the file's location. The file name will be highlighted.
* On macOS Mojave and Catalina the Finder will open one window for each different directory. In these windows only the last one of the corresponding files will be highlighted (bug or feature?).
* Dolphin (Linux) will open one window with tabs for the different directories. All the selected images' file names are highlighted in their respective directories.
As an alternative option you can choose to show the image file names as symbolic links in an arbitrary directory. Go to preferences|Lua options. This option is not available for Windows users as on Windows only admins are allowed to create links.