It's expensive. I don't agree that it's harder, in the sense of TFA's technical struggles getting it to work. If you've got the money for the certificate, passing OV and signing the binary is easy. The difficulty of signing isn't the big problem we face on Windows. The main issue is that signing barely does anything: you still get hit with SmartScreen blocks even though it's signed. The return on your investment of time and money is just showing your name as the publisher in the SmartScreen prompt. The only way to avoid the SmartScreen prompt is by building reputation with lots of installs.

I still prefer this over having a Microsoft developer account and publishing in the store--I hate having to put my software through arbitrary store review processes--but it's not a good situation. SmartScreen is just about the worst thing ever to happen to indie developers on Windows. We're right there in the thick of it with macOS developers: different details, same struggle. Both of our corporate overlords want you to distribute software in their store, and you get the sense that they would end self-distribution entirely if they thought they could get away with it.

I note that TFA's author edited the post after-the-fact, changing the line about Windows. It originally claimed that Windows worked fine and they got "just an EXE" and that was that. I assume they finally tried it for real on a civilian computer and saw the SmartScreen block.