They don't.

Along with a bunch of other network socket stuff, such as many of the tools in Kali Linux, which they have published in the Windows Store. Nevermind that a significant chunk of Kali's tools do not work in WSL, at present.

tcpdump is a wrapper for RAW sockets and eBPF. You can use WinPCAP, but it's not possible to use something like fanout(It's possible to make multithreaded tcpdump for Linux) or you can't use interface "any"(it's a Linux specific layer). The worst thing is that you can't trace your kernel IP/TCP info, like sk_buff tracing in Linux.