By "spare listening sockets" do you mean having threads on the server calling ConnectNamedPipe? A bit confused by your terminology since these aren't called listening sockets. (You're not referring to socket() or AF_UNIX, right?)
And yeah, that seems more or less what I expected. The implementation is probably optimized for repeated I/O on established connections, not repeated unestablished ones. Which would be similar to filesystem I/O on Windows in that way - it's optimized for I/O on open files (especially larger ones), not for repeatedly opening and closing files (especially small ones). It makes me wonder what kinds of use cases require repeated connections on named pipes.
If the performance is comparable to Linux's after the connection, then I think that's important to note - since that's what matters to a lot of applications.