When you write the RetroPie image to the SD card, it is creating two partitions.
The first is a boot partition in FAT32 filesystem that is about 250MB as you have already seen.
The second is a GNU/Linux partition in the ext filesystem. Windows will not see this unless you install special software. But that is okay, we really don't need Windows to see it.
As soon as you are done writing the image to the card, just stop and don't let Windows format anything. Insert the card into your Pi 4 and start it up.