That's because Windows' FS offers quite a lot of features that many other FSs don't -- especially SQLite doesn't. You might not need those features, of course.

One core feature is that Windows offers hooks ('filters') that allows other components to put themselves between the client program and the files. This is how virtual filesystems work (like OneDrive, etc.), or how anti-malware works.

When you read from sqlite, then those reads can't come from another server, the objects can't be scanned automatically, etc. Again -- you might not need these features, but it's not that sqlite or ext4 is somehow magically faster; they just made different design choices.