Plug-ins for Windows must be .BAT, .CMD, or .EXE files only. Python scripts can be wrapped in a .BAT batch file. Here's an example of how to "wrap" a Python script, "my_python_script.py" in a batch file named "my_plugin.bat":
Make sure the batch file is in the JEDI One plug-ins directory. Then when specifying a custom data collector plug-in or action plug-in, just select the batch file (in this example, "my_plugin.bat").