As for MS Windows, WTF? Not only the forced ads making it seem like in some kind of casino built for 4 year olds (assume it's some kind of play to suck the kiddies in?), it's an abortion of mismatched UI, half of it trying to look like a cheaply built web app, then on next screen dumping you back into some NT style select panel. It's just awful. To say nothing of invasive updates and general Windows unpleasantness. I can say without reservation I have no use for the OS at all, Linux is just so much more pleasant to use at this point.
Or "control [shortcut]" eg control fonts
Or can still use MMC, or blablabla.msc, eg. devmgmt.msc
and hardly have to interact with the snow-blindness Settings app.
Is there any advantage to running it on Linux (except maybe the cost of a Windows license which is probably trivial compared to the cost of Sql Server itself)
As the OP indicated, MS SQL has it's own facilities for managing memory and disk I/O. It basically asks for all the resources from the OS and then does everything itself internally. I'm exaggerating obviously but it does try to avoid costly calls to the OS whenever and however possible which is why it was so easily ported to Linux.