I've noticed this too: builds are faster on Linux (I assume because of the longstanding perf issues with directory traversal on Windows), and some of the GUI elements on Windows are blurry, apparently because of Chromium issues with High DPI that are outside Microsoft's control. I imagine some manager at Microsoft rips his hair out over this, but their loss is our gain.
The example I've noticed most is that touchpad scrolling is janky on windows and good on Linux on the same hardware.
Shhh we don't want the brass knowing that.
for me it doesn't work well with non-standard keyboard (colemak). All shortcuts break (at least on fedora 28 it does)
I'm a colemak user with no problems with shortcuts. Try putting in your settings:
"keyboard.dispatch": "keyCode"
and see if it helps.
Colemak seems to be working fine on MacOS and Windows.