There is a bit of a shift I find, if I'm doing something all Microsoft, I've got Visual Studio and plugins loaded, it is effectively a 3,000lb sledge hammer. A few years ago it was an effort to ensure my PC had enough RAM to run such a beast, complete with Resharper. However I don't have to leave VS for pretty much anything. This is really nice.
When you get used to having a proper IDE, by that I mean one which does everything you need effortlessly, it you don't really ever go outside it.
Ultimately, as a developer rather than a SysAdmin I never need a CLI for getting code made. Managing servers and such is a different union! However I will say powershell isn't bad at all.
* I use Ruby, Python, and Javascript/Node.JS on a Mac for side projects.
Of course, through Cygwin, MingW, et al you can also just run bash or whatever shell you want on Windows.
To be honest I don't spend a ton of time in terminal windows on Windows for some of the reasons others mentioned, though I do tend to constantly be using the shell on the Linux VMs I mentioned (often just sshed into a local VM).