I remember hearing a few years ago the Bloomberg Terminal was "redone" to be Windows based. Is that true ? Or do they still run on top of their own OS.

I would have thought if they would have move anywhere, it would have been to Linux or maybe even a *BSD to avoid the GPL.

The Bloomberg Terminal started as dedicated hardware, but it has been Windows-based software for at least 20 years. At one time a Solaris-based version was developed, but that never took off and was dropped. These days there are plenty of Linux servers running back-end code in the Bloomberg data centres, but I've not heard of any plan to support Linux on the front-end.