If memory serves, traditionally, CCL (Clozure Common Lisp [0]) had better support for Windows but SBCL was unbeatable for speed. Is that still the case?

[0] https://ccl.clozure.com/

SBCL works fine on Windows. It used to display a warning about fragility at startup, but that was removed in version 2.0.3, 6 years ago, after already being obsolete for quite a while.

CCL isn't very actively maintained and currently doesn't have an ARM64 port, but otherwise continues to work fine. I believe one reason people use it is that it compiles a bit faster than SBCL, at least in part by doing less optimization.