This problem has unfortunately existed for forever with the Windows Photolab version. On a Mac it works correctly and will open the image directly in “Customize mode”, without charging the whole folder.
On Windows, somehow it depends on how the software implemented the ‘open with’ command. If you would open Photolab from a command line and pass the image paths to it, it would correctly create a project with only these images and don’t load the whole folder.
I had written about it here:
I think it could be possible to write a script, and when you select an image in the Windows Explorer, instead of selecting “Open with Photolab”, you would select “Open with Script”, and that script could correctly call Photolab from the command line and only pass the selected images to it. But I had never tested that.