One painfully missing thing is FUSE support. My workflow involves coding on an sftp-mounted directory, which doesn't work in the Windows version. Alas, it seems the only remote mounting Windows will ever have is WebDAV.
Dokan provides FUSE support going back to Windows 7. There are also paid solutions with ExpanDrive and Mountain Duck, but in my experience Dokan+WinSSHFS [0] is easy to setup and works great.
Last time I used Windows, there were several commercial (but cheap) products that supported mounting remote file systems, including SFTP. Tried any of them? Quick Google gives me NetDrive (free) and ExpanDrive.