The recommendation of the manufacturer of a product is always the best guideline you can follow.
Any case we follow manufacturer recommendations in order to pack and configure our stacks. In this case, I think Magento answer could be related to OS characteristics that Linux implements and Windows do not. The best platform where to deploy your particular installation may vary on your needs (development, stable and production for long term, etc)
Answering your question, there are some cronjobs (programmed and periodic task) that Magento uses in order to offer some functionality that is only available on Linux. Furthermore I think to deploy an application such as Magento within a VM could not be the best choice if you are concerned about performance issues.
If you have any other question and you think we can help, please don’t hesitate to ask.