I used to have code in my config files to try and handle different paths, etc. when I was in windows vs linux and now I don't have to worry about that anymore.
YMMV
I haven't yet tried WSL (I run Windows on a work issued laptop), so my emacs sessions run in a Linux VM to get acceptable performance.
I am relieved, though, that it's not just me.
Git is definitely slower in Windows
http://git.savannah.gnu.org/cgit/emacs.git/tree/nt/INSTALL.W...
As with most things in that realm, the hard part is getting all the dependencies (libpng, etc) but (a) since msys2 switched to pacman that looks a ton easier (b) AFAIK building with those graphical libraries is a nice-to-have for w3m support, so if it's a hassle you can skip it
Just be forewarned that [again, last I checked] msys has a bad interaction if your machine is a member of an Active Directory domain, but you are road-warrior-ing and it is unable to reach the domain controller; one of my more popular SO answers: https://stackoverflow.com/questions/929495/why-is-mingw-very...