AcesOfGlory already write right explanation.
I assumed that max() isn't work's with generators.
So i thought that your solution will create list like
[ int_1, int_2, ... int_N ]
and only then program start search maximum of int_k
Then i agree your way is better, sry)

You will have to "iterate over every digit" (maybe minus 5 digits) anyway. This task cannot be solved without iterating over almost every digit (or can it? if so, show me the solution that does not iterate over every digit - and give proofs it is actually faster).

But you still iterate over every digit. So if the number passed is as large as 1000 digits this solution could be very slow.

So you create whole list of 5 digit numbers instead of keeping one variable. And then use max() to search max. Don't think it's clever or best practice.