MacOS is app-centric, so you have a keystroke to switch between apps and a keystroke to switch through the windows of the app. Windows is window-centric rather than app-centric, with a unified window stack so a single keystroke (Alt-Tab) always takes you to the previous window, regardless of what app is responsible for that window. Repeated Alt-Tab's take you back through your most recently used windows, regardless of the Apps involved.
OSX users generally can't imagine not knowing what apps their windows are associated with, and Windows users generally can't imagine being expected to care what apps their windows are associated with.
The difference is largely a historical artifact of the Macintosh operating system not originally supporting "multitasking." When the Mac first came out, it could only run one application at a time. If you wanted to switch between a spreadsheet and a word processor you had to close one application and open the other. Then the concept of a "switcher" was invented, which gave you the sense that the Mac was running multiple applications because it could do app-to-app context switching behind the scenes to make it feel like you were running multiple applications simultaneously. All of this meant there was no OS-level concept of "the window stack" there was only an app-level concept of window history, and a separate OS-level concept of app history.
Windows launched after the Mac, into an era of slightly more powerful processors and better understanding of user behavior on truly multi-application devices. These differences led Microsoft to adopt an OS-level unified window history model. Apple undoubtedly discussed the idea, but even by the time Windows launched Mac users were fully accustomed to the Mac's windowing model and would have complained mightily at the conceptual switch had it been attempted then or at any other point in time.
The more time you spend in one ecosystem, the more natural its approach feels to you, because you adapt to your environment over time.