I can confirm your anecdote, based on messing with ML on a linux system in my personal time over the last few years. I don't do any work in ML, but I have never heard of anyone doing anything with ML on Windows other than maybe running some models locally.

Though I will say I have encountered issues in the past with a Linux gaming computer which experienced issues with the Nvidia drivers anytime I decided to update the distro (I was using Kubuntu at the time).

I do ML in a Debian WSL install because I’m a crazy person. But I hate dual booting and it works perfectly.