It probably doesn't. I use MinGW on Windows. Once Windows 10 adds the announced linux support I guess I'll start using that instead. :)

I can build .exe's that run fine on Windows this way and executables that run on OS X (using the X-Code supplied compiler and build tools that CLion depends on for OS X). I can get qt, wxWidgets and GLFW UIs working for both platforms from the same code base with CLion.