I definitely prefer WSL.

I've found this article to be one of the better on setup of that environment:

https://elecming.medium.com/the-ultimate-emacs-hacking-tutor...

I prefer the windows version. It respects all the native graphic elements of windows like font hinting, high dpi and and transparency better and I can drag and drop from explorer into it. It's also nice that I don't need to start WSL and an xserver to get it going.

I've run it on native Windows for the last 10 years. magit sucks, but everything else works fine.