I don't understand how the situation is different. Of course you can extract the keys from a running ssh-agent since the whole point is not having to provide your password every time so they have to have access to the private key one way or an other. How is the situation different on Windows? Surely when the user is logged an administrator with access to the full RAM and storage will be able to piece everything together (like TFA does for instance)?
On the other hand if you really can't trust your admin you have a huge problem anyway, even with a HSM you could be phished very easily.
Actually overall I'd say that this Windows method is slightly less secure because it means that the Windows keychain thingy is a single point of failure, if somebody compromises it they have access to everything including the ssh keys in the registry.