For example, before libadwaita screwed it all up I used to like to apply a custom theme to GNOME to cut down on the egregious padding everywhere, making the UI a much better fit for non-touch desktop OS use on a small laptop screen. There were several themes that accomplished that very well.
For one, Gtk+ used to be advertised as a multi platform toolkit, with a port of GDK to Win32. Making Gtk+ widgets look like Win32 made sense for that.
Secondly, there were two groups of people using Linux and X11 in that era: one group who were exiles from commercial Unix, and another, faster growing group coming from Windows. For the former group, it was reasonable to want widgets to look more like Motif or Athena. The latter group wanted a more modern look, which could depart from old school Unix workstations.
I think what has changed is user expecations; in the the 1990s, there was an expectation that programs should look like the native toolkit; whereas by now, it's even questionable whether there is a native toolkit on Windows (due to the range of choice, each of which a noticeably different in look and feel) and program-specific appearance is the norm on mobile and web applications. Nowadays, you could probably write a slightly customised Adwaita app for Windows and you'd get by more satisfactorily than if you wrote a plain GTK app and tried to theme it to modern Win32.
Gtk 1.2 did not really have great Win32 support, was basically a one man show primarily to get gimp to run on Windows. The Win32 backend took off after gtk2, there was more commercial push from Ximian to make it a cross platform toolkit via Gtk# as well. And it wasn’t dropped in 3 or 4, though it definitely has lost development steam as commercial interest in it and cross platform desktop GUI toolkits in general has flagged and consolidated.
You're right that gdk2 ramped up Win32 support, I remember that now.
Of course some applications do their own cursor management so if you do it poorly your cursor hops around themes as you drag it over various windows based on the toolkit they use but then again, that's what we all signed up for.
WSL is a welcome addition of course. PS is pretty powerful. The rest is painful. :D