The biggest is that you or your team are fluent in C++ and are targetting multiple platforms. In practice, fluency often pays much higher dividends than whatever differentiates one language from another.

Besides that, many critical third-party resources (operating systems, niche professional libraries, etc) are still designed for C or C++ integration and often written in those languages themselves. When you use C++ to integrate them into your own project, you don't introduce an extra layer of bugs, limitations, or performance issues associated with bridging and marshalling and can more easily trace and debug issues that arise during or after development. Further documentation and support often presume you're using C or C++ and so you get the best insight into how they're meant to be integrated and the most help when you run into trouble.

If you're not already comfortable with C++ or not working in one of those scenarios, it's less warranted, but the two factors above account for plenty of real-world projects.

If you want it to be fully native and not have to carry a runtime, C++ is pretty much your best choice. I think technically Python could be pretty slim if you just bring the runtime and build the GUI out of raw Win32 calls in Cython. That is something I've been thinking of trying for a while but mostly as a toy project to see how small you could get a Python GUI tool and not something for production.

Small footprint and fast are 2 big ones.

It doesn't seem like that odd of a choice. What else would you use?