Not true. I use a high-DPI (~250) MacBook with a non-high-DPI (~100) external monitor [0] and the transition between the two is seamless. Windows are identically sized when dragging from one screen to another. The same holds true when I use the laptop with a mid-DPI (~150) monitor.
I could not say the same was true a few years ago when I tried a high-DPI Windows 10 laptop with a non-high-DPI external monitor; it looked something like this [1]. Perhaps this has since been fixed.
macOS is able to achieve consistent sizing across displays irrespective of pixel density because it uses a compositor to render the whole screen at a high resolution and, if necessary, downsamples it proportionally for each screen. (Wayland on Linux can do the same, though it's certainly a much bigger headache to get consistently working than macOS.) When I tried using Windows 10 at two DPIs simultaneously, it just let me scale the font size and other UI elements on a per-screen basis, but not the screen as a whole, since I assume it does not use a compositor.
[0] Not my setup, but here is someone doing just that with a 30" 2560x1600 (~100 PPI) display and a ~250 PPI MacBook: https://www.reddit.com/r/macsetups/comments/tfbpid/my_macboo...
[1] Again, not my setup, but the Windows UI is rendered at different sizes on displays of different resolutions: https://www.reddit.com/r/computers/comments/16y1dux/how_do_i...