It's not just fun, it's a very responsible thing to do. Every minute they spend with you is a minute they don't spend screwing over someone else.
But don't end with "Ubuntu doesn't have that" or "I only have a Mac, sorry" or some other snarky comment. Just fake stupidity until they give up. They are constantly tuning their scams based on successful and unsuccesful cons, and if they realize you're screwing with them they'll just filter you out of that. Or worse, they'll realize that "calling from the windows" tipped you off and change it to "Microsoft Support Associate" or something.
If you instead come across as someone who believes the "calling from windows" bit, but for some reason aren't able to open the remote control software ("i try to download it but the screen moves?" or "when i click RUN, it says dotnet could not complete the operation?"), you will reinforce the stupid parts of the scam, and possibly have them waste time trying to research the technical difficulty you "experienced".