Not for Linux and I know first had that the Windows Store one is complete garbage because I really wanted it to work. The Hulu one is just as bad.
I've used the windows one a fair bit and would take it over the browser one any day. The desktop one wins for resource usage alone.
For me, it usually wouldn't start up (some oddball Windows Store error, probably because I don't sign into my machine with a Microsoft ID) and streaming quality was horrible, especially at the beginning, and there was no way to tell it to wait longer for buffering.
This is mostly a side effect of their development efforts for Xbox and Windows 10 Mobile.