1. You plug a USB device into one Mac. It asks you if you want to use it for Time Machine. You say no. Now, no other Mac will ask you this question again—because the preference has been stored on the drive, instead of on the computer.
2. You create a folder with an app you've written in it, and customize it with a cute "drag [this] onto [shortcut to Applications folder]" background, centering the icons on the background positions and sizing the window to perfectly fit the representation. You then copy this folder to another Mac (or any equivalent process, such as converting it into a DMG disk image and having someone download it.) They see exactly what you saw.
3. You keep an external hard disk that you frequently move back-and-forth between two Macs. The first time you plugged it into one of the Macs, it was indexed. Each time you modify it on either Mac, that index gets updated. The most recently created files are the most likely to be the ones you'll want to find through Spotlight when you plug the disk into the other Mac—but if the index was machine-local rather than disk-local, the new Mac wouldn't know about the new files yet, and would have to finish re-indexing to find them. (This is, of course, what happens when you modify the disk on a Windows computer, and it sucks. We really need a "metadata index API" to start being an expected offering of a filesystem, such that all OSes interacting with the filesystem can read and update it!)
On the other hand, Windows' Thumbs.db is exactly the sort of thing you don't want cached on the media. It'd be a great innovation if, say, cameras could pre-generate Thumbs.db files so Windows could immediately show the user what was on an SD card the first time it got plugged in... but cameras don't, because Thumbs.db is a random proprietary format. So, instead, it's only useful in the same situation that the Spotlight index is: moving a drive full of photos back and forth between two computers. Which might have separate screen DPI, and thus be set to show different thumbnails, meaning new thumbnails will get generated anyway.