People complain about doing Rails on Windows, and, while there's definitely extra friction, and I hate Windows in general, I have really good luck with RubyInstaller. I used to have a hard time with ExecJS, but now I just install Node (on either Mac or Windows), and I'm usually off and running.
Running 'Pengwin' (Debian) Linux via WSL, RVM using Ruby 2.4.1 + Rails 5.1.7 and Ruby 2.6.2 + Rails 6.0.0.beta3
Today, everything works just as expected, right out of the box with no effort. This includes ActiveRecord (to SQLite, MariaDB, and PostgreSQL), including Node.js / Asset Pipeline, Prawn PDF and ImageMagick integrations, uploads to AWS, email integrations, capistrano-based deployments, Heroku Gem + integration, and so on.
It's gotten to the point where we spend more time helping OSX folks figure out occasional Homebrew weirdness, than we do helping Windows folks with WSL. Especially since WSL people can almost always just re-use any Ubuntu instructions verbatim.
Hell, not only VSC supports WSL. RubyMine can manage rbenv/rvm on WSL and more https://confluence.jetbrains.com/display/RUBYDEV/How+to+add+...