I checked with the developers. Canon would need to embed multiple JPEG previews, and even then it would likely be pretty complicated to support it at this time. I'm going to mark this as "will not implement" for now, but it's possible we can revisit in the future.
Keith Ross-Jones
With many manufacturers now implementing RAW Burst functionality it would be great to be able to have some support for these formats. PM already shows thumbnails for Canon RAW Burst photos but does not show the individual photos.
The function I think would be useful is to be able to select a photos and extract it.